Changes in version 1.0.5 (2024-02-16) - Add historical decompositions and RMSE/LPS, and WAIC for analysis - Improve the algorithm to draw sign restrictions - Shocks are now built and checked per variable - Fix the CRAN NOTE on missing "tangle output" - Update FRED-datasets to 2023-10 vintage - Newer FRED-QD files include (unannounced) small naming changes Changes in version 1.0.4 (2023-03-08) - Fix bug from last update, where automatic ARIMA-priors where sqrt'd twice - Thanks to Michael Wolf for pointing this out, and - many thanks to Nirai Tomass for discovering the bug - Update FRED-MD and FRED-QD datasets to the 2023-02 vintage Changes in version 1.0.3 (2022-02-25) - Fix bug where warnings caused an error during automatic ARIMA-based priors - Thanks to Martin Feldkircher for pointing this out Changes in version 1.0.2 (2021-11-26) - Add DOI in the CITATION file for a new JSS publication - DOI will be registered after publication on CRAN - References now use the DOI interface instead of URLs - Update FRED-QD and FRED-MD datasets to 2021-10 - Fix minor issues with vignette (e.g. fixed dataset, references, etc) - Add verbosity to ARIMA-based automatic prior settings - Add hook to simplify use of shared generics with vars - Add README file to the package with correct URLs Changes in version 1.0.1 (2020-09-27) - Add identification via zero and sign restrictions - Update CITATION with the forthcoming JSS reference - Prepare for tidy outputs in BVARverse - Fix minor bugs and typos (internal checks, documentation, and vignette) Changes in version 1.0 - Clarify exact ToU of the FRED-QD dataset with St. Louis Fed - Comply with the new modified ODC-BY 1.0 for FRED-QD - Mention and add license to LICENSE file (linked in DESCRIPTION) - Add the copyrighted series we are allowed to use - Mention updates and license in the data documentation - Fix and improve documentation Changes in version 1.0.0 (2020-05-05) - Add fancy vignette with background and demonstrations - Add new features - New FRED-MD database and updated FRED-QD (data("fred_md")) - Transformation helper functions (fred_transform(), fred_code()) - Add Conditional forecasting (see ?bv_fcast()) - New replacement functions for irf() and predict() (irf(x) <- irf(x)) - Provide wrapper for parallelised execution (par_bvar()) - Improve existing features - Enhance IRF and forecast plotting - area argument adds polygons for credible intervals - t_back allows adding realised values before forecasts - col and fill arguments allow changing colours - transparence is applied to sequential lines / polygons - Improved x-axis labelling - Regex may be used for vars, vars_response, and vars_impulse - New type for coef(), fitted(), etc, to retrieve means / quantiles - Add constructors for the prior mean b argument in bv_mn() - Auto psi now allows for one order of integration - Enhance speed considerably (~2-10 times faster) - Move IRF and forecasts out of MCMC - Capitalise upon matrix properties - Cached and customised multivariate normal drawing - Optimised FEVD computation - Fix bugs - IRF calculation is now ordered properly (please recalculate) - coda methods are now proper methods (potential issue on Windows) - Vectorised scale_hess now works properly - Remove deprecated functions and arguments - Work on documentation and examples - Update citation information - Improve upon internal structure - Unit tests with tinytest for development (skipped on CRAN) - Outsource additional steps to dedicated functions - More robustness checks and add verbosity to errors - Tested extensively on R 4.0.0 and R 3.6.3 Changes in version 0.2.2 (2020-02-20) - Fix impulse response calculation (stray transpose of coefficients) - Thanks, Maximilian Böck for helping us track this down - Add some verbosity to error messages - Prepare for next major release - Include messages about future extensions and changes of FEVDs - Update docs on future construction of sign restrictions - Update docs on prediction and IRFs in bvar() - Add FRED-MD co-author Serena Ng to data contributors Changes in version 0.2.0 (2019-09-05) - Extend methods further - Add summary() methods for bvar, bvar_irf and bvar_fcast - Add as.mcmc method to interface with coda - Support hyperparameters and coefficients in plot.bvar() and density() - Add companion() method to retrieve the companion matrix - Improve ylim of plot.bvar() density plots with multiple chains - Add logLik() method for bvar objects - Fix bv_psi() errors for modes other than "auto" - Change fcast and irf defaults of bvar() to NULL - Move from MASS to mvtnorm for dmvnorm() (used in logLik()) - Be more specific in error messages - Add coda to suggestions for convergence assessment etc. - Add files LICENSE, CITATION and NEWS.md - Improve examples for further test coverage - R CMD check --run-donttest: One warning (deprecated functions) Changes in version 0.1.6 - Prepare for minor release 0.2.0 - Provide several standard methods for objects generated with BVAR - predict() for ex-post forecasts and updating quantiles - irf() / fevd() for ex-post irfs, fevds and updating quantiles - fitted(), residuals(), coef() and vcov() - density() as shorthand for calling density() on hyperparameters - Add print() methods for intermediate objects - Includes bv_minnesota, bv_metropolis and method outputs - Rework plotting - plot.bvar() now supports types, subsets and multiple chains - Deprecate bv_plot_trace() and bv_plot_density() - Add density(), including a plot method - Replace by plot.bvar(), incl. plotting of multiple chains - Change plotting of bvar_fcast and bvar_irf - Deprecate bv_plot_irf(x) for plot(x$irf) or plot(irf(x)) - Move conf_bands argument to predict() / irf() - Add plot methods for bvar_resid and bvar_density - Add sign_lim to bv_irf() to set maximum number of sign restriction draws - Standardise prior construction further - Align alpha and lambda, improve psi alignment - bv_mn() may be called with a numeric vector for alpha and/or lambda - Improve documentation - Document related functions in joint - Add details on priors - Add less concise aliases for bv_mh() and bv_mn() - bv_metropolis() and bv_minnesota() - Fix bugs related to single confidence bands at 0.5 - Save fred_qd with format version 2, lowering R dependency to (>= 3.3.0) - Add vars to suggests for shared methods, import is bypassed Changes in version 0.1.5 (2019-07-09) - Try to clarify licensing terms with the Federal Reserve - Some copyrighted series may have to be removed - Subset the dataset to only include variables in public domain for now - Fix addition of prior pdfs to ML - alpha needs an sd parameter - psi now needs proper shape and scale parameters - Add normalising constant - Add lines to all density plots (when supplied via ellipsis) - Add documentation on using scale_hess as a vector - Add two pre-constructed dummy priors bv_soc() and bv_sur() - Further split up calculation of marginal likelihood Changes in version 0.1.3 (2019-05-03) - Update DESCRIPTION with linked DOI - Change \dontrun{} examples to \donttest{} - Fix bounds in plot_hyper() - Update references with links via DOI - Add and improve examples for print and plot methods - R CMD check --as-cran: No errors or warnings, one note (New submission)