Package: bsvars
Type: Package
Title: Bayesian Estimation of Structural Vector Autoregressive Models
Description: Provides fast and efficient procedures for Bayesian analysis of Structural Vector Autoregressions. This package estimates a wide range of models, including homo-, heteroskedastic, and non-normal specifications. Structural models can be identified by adjustable exclusion restrictions, time-varying volatility, or non-normality, and include exclusion restrictions on autoregressive parameters. They all include a flexible three-level equation-specific local-global hierarchical prior distribution for the estimated level of shrinkage for autoregressive and structural parameters. Additionally, the package facilitates predictive and structural analyses such as impulse responses, forecast error variance and historical decompositions, forecasting, verification of heteroskedasticity, non-normality, and hypotheses on autoregressive parameters, as well as analyses of structural shocks, volatilities, and fitted values. Beautiful plots, informative summary functions, and extensive documentation including the vignette by Woźniak (2025) <doi:10.48550/arXiv.2410.15090> complement all this. The implemented techniques align closely with those presented in Lütkepohl, Shang, Uzeda, & Woźniak (2025) <doi:10.1016/j.jeconom.2025.106107>, Lütkepohl & Woźniak (2020) <doi:10.1016/j.jedc.2020.103862>, and Song & Woźniak (2021) <doi:10.1093/acrefore/9780190625979.013.174> and they embed many popular models proposed by other authors. The 'bsvars' package is aligned regarding objects, workflows, and code structure with the R packages 'bsvarSIGNs' by Wang & Woźniak (2025) <doi:10.32614/CRAN.package.bsvarSIGNs>, 'bvars' by Liu, Ramirez Hassan, Woźniak (2026) <doi:10.32614/CRAN.package.bvars>, and 'bpvars' by Woźniak (2026) <doi:10.32614/CRAN.package.bpvars>, and they constitute an integrated toolset.
Version: 4.0
Date: 2026-08-19
Authors@R: c(person(
              given = "Tomasz", 
              family = "Woźniak",
              email = "wozniak.tom@pm.me", 
              role = c("aut", "cre"),
              comment = c(ORCID = "0000-0003-2212-2378", ROR = "01ej9dk98")
            ),
           person(
              given = "Fei", 
              family ="Shang",
              email = "sfmax2010@gmail.com", 
              role = c("ctb"),
              comment = c(ORCID = "0000-0003-1908-3275", "co-authored the Journal of Econometrics methodological paper by Lütkepohl, Shang, Uzeda, Woźniak (2026), introduced major code corrections and improvements")
            ),
            person(
              given = "Helmut", 
              family ="Lütkepohl",
              role = c("ctb"),
              comment = c("co-authored the Journal of Econometrics methodological paper by Lütkepohl, Shang, Uzeda, Woźniak (2026)")
            ),
            person(
              given = "Luis", 
              family ="Uzeda",
              role = c("ctb"),
              comment = c(ORCID = "0000-0002-2177-676X", "co-authored the Journal of Econometrics methodological paper by Lütkepohl, Shang, Uzeda, Woźniak (2026)")
            ),
           person(
              given = "Xiaolei", 
              family = "Wang",
              email = "adamwang15@gmail.com", 
              role = c("ctb"), 
              comment = c(ORCID = "0009-0005-6192-9061", "corrected C++ code for historical decompositions")
            ),
           person(
              given = "Bruno", 
              family ="Cavalcante",
              email = "bruno.cavalcante@fgv.edu.br", 
              role = c("ctb"),
              comment = c(ORCID = "0009-0005-7252-7658", "corrected R code for HMSH forecasting")
            )
          )
Maintainer: Tomasz Woźniak <wozniak.tom@pm.me>
Depends: R (>= 4.1.0)
Imports: Rcpp (>= 1.0.7), RcppProgress (>= 0.1), RcppTN, GIGrvg, R6,
        stochvol, generics
Suggests: knitr, tinytest
LinkingTo: Rcpp, RcppProgress, RcppArmadillo, RcppTN
License: GPL (>= 3)
URL: https://bsvars.org/bsvars/
BugReports: https://github.com/bsvars/bsvars/issues
Encoding: UTF-8
LazyData: true
VignetteBuilder: knitr
Config/roxygen2/version: 8.0.0
NeedsCompilation: yes
Packaged: 2026-08-22 05:21:04 UTC; twozniak
Author: Tomasz Woźniak [aut, cre] (ORCID:
    <https://orcid.org/0000-0003-2212-2378>, ROR:
    <https://ror.org/01ej9dk98>),
  Fei Shang [ctb] (ORCID: <https://orcid.org/0000-0003-1908-3275>,
    co-authored the Journal of Econometrics methodological paper by
    Lütkepohl, Shang, Uzeda, Woźniak (2026), introduced major code
    corrections and improvements),
  Helmut Lütkepohl [ctb] (co-authored the Journal of Econometrics
    methodological paper by Lütkepohl, Shang, Uzeda, Woźniak (2026)),
  Luis Uzeda [ctb] (ORCID: <https://orcid.org/0000-0002-2177-676X>,
    co-authored the Journal of Econometrics methodological paper by
    Lütkepohl, Shang, Uzeda, Woźniak (2026)),
  Xiaolei Wang [ctb] (ORCID: <https://orcid.org/0009-0005-6192-9061>,
    corrected C++ code for historical decompositions),
  Bruno Cavalcante [ctb] (ORCID: <https://orcid.org/0009-0005-7252-7658>,
    corrected R code for HMSH forecasting)
Repository: CRAN
Date/Publication: 2026-08-22 16:00:17 UTC
Built: R 4.6.0; x86_64-apple-darwin20; 2026-08-22 19:02:54 UTC; unix
Archs: bsvars.so.dSYM
