bvar

Bayesian Macroeconometrics in R

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.

Functions for Bayesian inference of vector autoregressive and vector error correction models

Bayesian Macroeconometrics C++ Library

R and Python package to model Bayesian VAR and VHAR models

replication code for „Forecasting with Shadow-Rate VARs“ by Carriero, Clark, Marcellino and Mertens

Codes for BVHAR Research