Bayesian Macroeconometrics in R (BMR)

Bayesian Macroeconometrics in R

BMR (Bayesian Macroeconometrics in R) is an R interface to BMLib, a templated C++ library for estimating Bayesian Vector Autoregression (BVAR) and Dynamic Stochastic General Equilibrium (DSGE) models.

Features

Seamless and efficient OO-based interaction using Rcpp modules.
Requires no use of (or knowledge of) C++ by the user.

Author: Keith O'Hara

License: BMR is licensed under the GNU General Public License (GPL) version 2, or (at your option) any later version.

Download and Installation

Package requirements: R (v3.40, or above) and Rcpp, RcppArmadillo, ggplot2, and grid (this comes pre-packaged with R).

Execute the following commands, post installation of R itself, and you should be good to go:
```
install.packages("RcppArmadillo")
install.packages("ggplot2")
```

The source code is available on GitHub. You need to install BMR from source.

Perhaps the quickest way to install from source is via the 'devtools' package in R.
First, make sure you have the appropriate development environment; if you're using a Mac, get Xcode from the App Store; if you're using Windows, get Rtools.

Note: For Mac users, unless you've compiled R from source, you will need gfortran v4.8.2. This can be obtained using the following commands (from a terminal window):

curl -O http://r.research.att.com/libs/gfortran-4.8.2-darwin13.tar.bz2
sudo tar fvxz gfortran-4.8.2-darwin13.tar.bz2 -C /

Then simply run the following commands in R:

install.packages("devtools")
library(devtools)
install_github("kthohr/BMR")

Documentation

After installing BMR, the user can check if everything is working as intended by typing:

library(BMR)
data(BMRVARData)

This should load BMR and place a dataframe called 'USMacroData' into the workspace.

Replication Files

Replication files can be found in the tests folder.