Updated 10 months ago
BVAR
Toolkit for the estimation of hierarchical Bayesian vector autoregressions. Implements hierarchical prior selection for conjugate priors in the fashion of Giannone, Lenza & Primiceri (2015). Allows for the computation of impulse responses and forecasts and provides functionality for assessing results.
Updated 10 months ago
bvartools
Functions for Bayesian inference of vector autoregressive and vector error correction models