The recently released BMR package, short for Bayesian Macroeconometrics with R, provides a comprehensive set of powerful routines that estimate Bayesian Vector Autoregression (VAR) and Dynamic Stochastic General Equilibrium (DSGE) models in R.
The procedure of estimating both Bayesian VAR and DSGE models can represent a great computational burden. However, BMR removes a lot of this burden, performing the most computationally demanding procedures using C++, which is ported into R with the Rcpp package in a manner similar to that of the recently released STAN package.
Despite the complexity of these models, the package itself is very easy to use. Furthermore, the package’s author has provided an awesome vignette that explains both the theory underlining these models, and examples of their use.