dynamite: An R Package for Dynamic Multivariate Panel Models

Abstract

dynamite is an R package for Bayesian inference of intensive panel (time series) data comprising multiple measurements per multiple individuals measured in time. The package supports joint modeling of multiple response variables, time-varying and time-invariant effects, a wide range of discrete and continuous distributions, group-specific random effects, latent factors, and customization of prior distributions of the model parameters. Models in the package are defined via a user-friendly formula interface, and estimation of the posterior distribution of the model parameters takes advantage of state-of-the-art Markov chain Monte Carlo methods. The package enables efficient computation of both individual-level and aggregated predictions and offers a comprehensive suite of tools for visualization and model diagnostics.