Dear R users, please let me draw your attention to my new R package bvarsv (on CRAN since August 28) which implements the Primiceri (Review of Economic Studies, 2005) vector autoregressive model. The model is popular in macroeconomic analysis as it allows to model instabilities (e.g. in the mean and volatility dynamics) that are often observed in macroeconomic time series like inflation. The package provides functionality for Bayesian analysis of the Primiceri model. To the best of my knowledge, it is the only publicly available R code to do so. The underlying Markov Chain Monte Carlo algorithm is computationally challenging, since each iteration requires multiple calls of a recursive Kalman filter type algorithm. Therefore, bvarsv relies on C++ code ported to R via Rcpp and RcppArmadillo. The clear focus of the package is on forecasting, as opposed to structural analysis of economic relationships. The package allows to compute posterior predictive distributions, which can then be plotted and analyzed using forecast evaluation techniques. More detailed documentation and examples is available here: https://sites.google.com/site/fk83research/code Your feedback on any aspects of the package, as well as possible improvements or extensions, would be highly appreciated. Thank you and best wishes, Fabian Krüger _______________________________________________ R-packages mailing list R-packages@r-project.org https://stat.ethz.ch/mailman/listinfo/r-packages