NOTE: This package is not actively developed, nor is it complete.
For an actively developed (and more efficient) package for Bayesian estimation of non-Gaussian SVARs, see bsvar.
This package (rbsvar) implements all the methods discussed in Anttonen, Lanne and Luoto (2023).
Bayesian estimation of statistically identified "robust" structural vectorautoregressive models.
Make sure you have the latest version of R installed on your computer. On top of that, see the operating system specific further prerequisities below for the development version of the package to work on your computer.
Rtools must be installed on your computer. See: https://cran.r-project.org/bin/windows/Rtools/
Make sure you have Xcode installed. If not, it can be found from the App Store OR it can be installed in the shell by:
xcode-select --install
After installing Xcode, a few more steps might still be necessary. For comprehensive instructions, see: https://thecoatlessprofessor.com/programming/cpp/openmp-in-r-on-os-x/#after-3-4-0
In short, (i) the official gfortran 6.1 build (see: https://gcc.gnu.org/wiki/GFortranBinaries#MacOS-11) and (ii) clang (compiler, see: https://uofi.box.com/v/r-macos-clang-pkg) may need to be downloaded and installed.
Everything should be just fine. Just make sure you have everything Rcpp needs.
If you do not have devtools installed, install it in R by:
install.packages("devtools")
After devtools is installed, install and load the package by:
devtools::install_github("jetroant/rbsvar")
library(rbsvar)