Updated 6 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 6 months ago
bvartools
Functions for Bayesian inference of vector autoregressive and vector error correction models