bayesianVARs

0.1.8

MCMC Estimation of Bayesian Vectorautoregressions

0packages depend

7.2Kdownloads / year

54.3%test coverage

13/13checks pass

Overview

About

Maintained by Luis GruberFirst published 2024-01-138 releasesCRAN page ↗GitHub ↗

Efficient Markov Chain Monte Carlo (MCMC) algorithms for the fully Bayesian estimation of vectorautoregressions (VARs) featuring stochastic volatility (SV). Implements state-of-the-art shrinkage priors following Gruber & Kastner (2025) doi:10.1016/j.ijforecast.2025.02.001. Efficient equation-per-equation estimation following Kastner & Huber (2020) doi:10.1002/for.2680 and Carrerio et al. (2021) doi:10.1016/j.jeconom.2021.11.010.

Install

R (CRAN)pak (dev)Ubuntu (r2u)Fedora (COPR)openSUSE (OBS)

install.packages("bayesianVARs", repos = "https://cloud.r-project.org/")

Installs the current CRAN release. Prebuilt binaries on Windows and macOS.

if (!requireNamespace("pak", quietly = TRUE))
  install.packages("pak", repos = "https://cloud.r-project.org/")
pak::pak("luisgruber/bayesianVARs")

Development version from luisgruber/bayesianVARs. Installs pak first if it is not already available.

Release

# enable cranapt (r2u) if it is not already set up, then install
grep -rqs r2u.stat.illinois.edu /etc/apt/sources.list /etc/apt/sources.list.d/ \
  || curl -fsSL https://raw.githubusercontent.com/eddelbuettel/r2u/master/inst/scripts/add_cranapt_noble.sh | sudo bash
sudo apt install -y r-cran-bayesianvars

Fast Ubuntu binaries via r2u (no compilation). The cranapt setup runs once and is skipped when it is already enabled.

bspm (used by r2u) also needs make: sudo apt install make

# enable the iucar/cran COPR if it is not already present, then install
ls /etc/yum.repos.d/*iucar*cran*.repo >/dev/null 2>&1 \
  || sudo dnf copr enable -y iucar/cran
sudo dnf install -y R-CRAN-bayesianVARs

RPMs from the iucar/cran COPR, rebuilt from CRAN.

For install.packages() integration in R, also: sudo dnf install R-CoprManager

# add the autoCRAN OBS repo (Tumbleweed) if it is missing, then install
zypper -q lr | grep -qi autoCRAN \
  || sudo zypper addrepo https://download.opensuse.org/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Tumbleweed/devel:languages:R:autoCRAN.repo
sudo zypper install -y R-bayesianVARs

RPMs auto-built from CRAN on openSUSE OBS (Tumbleweed).

Health

CRAN checks

13OK

Slowest check: 18.9 min · r-oldrel-macos-x86_64

Code health

Yes

Tests · ratio 0.18

54.3%

Coverage · measured lines

100%

Documentation · exports

Dependencies · direct

Check history

OK2026-04-25
12 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
NOTE2026-04-22
12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
ERROR2026-04-18
11 OK · 2 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE
NOTE2026-04-10
12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
ERROR2026-04-09
11 OK · 2 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE

Show 1 earlier snapshots

NOTE2026-03-10
12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE

Documentation

READMEYes · 166 wordsVignettesYes · dynamicpkgdown siteNoNEWSYes · 100% structuredCode of conductNoContributing guideNo

Examples that run: 100%
Documented parameters: 98%
Return-value docs: 78%
References docs: 20%

Downloads

7.2K

CRAN downloads in the past year

Rank #9,669 · ~20/day · ~601/mo

Releases R versions

Daily download trend is not available in this view yet.

38930 days

1.1K90 days

7.2K1 year

Compare downloads with other packages →

Also on471 r2u42 autocran

Repository

GitHub ↗ luisgruber/bayesianvars

11Stars

5Forks

1Open issues

0Open PRs

8Releases

413Commits

3Contributors

bayesianpackagertime-seriesvectorautoregression

License GPL-3.0 · 413 commits · Last activity 2026-03-03 · 0% stars, 30d

Stars over time

2025-02-28 · 82026-07-07 · 11

Repository practices

Upstream repositoryBeta

2 development-tooling and community-health practices detected across 2 families in the upstream repository

Checks run against github.com/luisgruber/bayesianvars on 2026-07-19.

Continuous integration (1)

GitHub Actions

Reproducibility and dev environment (1)

data-raw/

How this is detected·Detection ruleset v1 (2026-07-18)

Dependencies

Declared dependencies

20 external dependencies (excludes base and recommended)

Depends (1)

R >= 3.5.0

Imports (11)

colorspace factorstochvol GIGrvggraphicsMASSmvtnorm Rcpp scalesstatsstochvolutils

LinkingTo (6)

factorstochvol Rcpp RcppArmadillo RcppProgress stochvol lpSolveAPI

Suggests (7)

coda knitr quarto rmarkdown testthat lpSolveAPI bsvarSIGNs

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

0direct

0indirect

Nothing depends on this yet.

Code & Tests

Code Composition

R 5,872 (47%)C++ 3,061 (24%)Rd 2,195 (17%)Vignettes 678 (5%)Other 658 (5%)C 106 (1%)

Code characteristics

Object systems

S321

Cyclomatic complexity: 2.0 median / 134 max
Test cases: 11 / 0.18 per code line

Test coverage

Line coverage

54%

Expression

54.4%

Tests / Examples

54.3% / 60% ex

Functions

115 9 exported

Complexity

11 avg / 134 max

Call network

115 nodes / 55 edges

Call graph

Open call graph →

Loading call graph…

Lowest coverage

115 functions

Function	Cyclo	Coverage
posterior_heatmap exp	34	0%
stable_bvar exp	13	0%
.onUnload	1	0%
coef.bayesianVARs_bvar	1	0%
data_prep	2	0%
fitted.bayesianVARs_bvar	2	0%

People & History

People (3)

Maintainer (1)

Luis Gruber

Authors (3)

Luis Gruber

Stefan Haan

Author · added in 0.1.6

Gregor Kastner

Author, Thesis advisor · added in 0.1.2

Luis Gruber

Package Timeline

8 releases. Pick two to compare their code metrics. R releases are shown for context.

R
R 4.6.0 released · 2026-04-24
0.1.8Latest
2026-02-19 · current release · diff ↗
0.1.6
2026-01-29 · diff ↗
R
R 4.5.0 released · 2025-04-11
0.1.5
2024-11-13 · diff ↗
0.1.4
2024-09-06 · diff ↗
unarchivedReturned to CRAN
2024-09-06
archivedRemoved from CRAN
2024-09-04
issues were not corrected in time
0.1.3
2024-06-26 · diff ↗
R
R 4.4.0 released · 2024-04-24
0.1.2
2024-01-20 · diff ↗
0.1.1
2024-01-17 · diff ↗
0.1.0
2024-01-13
R
R 4.3.0 released · 2023-04-21

Package metadata

First published: 2024-01-13
Total releases: 8 / 2 yrs
License: GPL (>= 3) OSI
Minimum R: ≥ 3.5.0
Bundled data: 37 KB / 1 file
Download size: 774 KB
Installed size: not tracked yet
With dependencies: not tracked yet

Appears in task views

Bayesian Inference Time Series Analysis

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