Multivariate Time Series Models: VAR, SVAR and SVEC
☆47Mar 25, 2022Updated 4 years ago
Alternatives and similar repositories for vars
Users that are interested in vars are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Time varying vector autoregressive state space modeling of community interactions in a Bayesian framework☆12Oct 4, 2021Updated 4 years ago
- R/C++ implementation of Bayes VAR models☆21Nov 12, 2019Updated 6 years ago
- R Package for data driven SVAR identification of impulse response functions☆57Oct 18, 2025Updated 9 months ago
- Quantitative Risk Management Concepts☆12Sep 27, 2016Updated 9 years ago
- SVAR toolbox for bayesian VAR estimation and a range of identification methods☆11Feb 16, 2025Updated last year
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- Toolbox for the estimation of Bayesian Global Vector Autoregressions in R.☆35Jan 3, 2026Updated 6 months ago
- Estimating VARs using sign restrictions in R☆22Mar 29, 2016Updated 10 years ago
- Partial re-write of the R package stochvol to allow for asymmetry (leverage).☆19Apr 11, 2026Updated 3 months ago
- r package for bayesian VARs☆23Dec 12, 2017Updated 8 years ago
- R package for Mixed-Frequency Bayesian VARs☆46May 11, 2021Updated 5 years ago
- R package for mixed frequency time series data analysis.☆82Apr 7, 2025Updated last year
- Empirical macro toolbox☆151Jun 24, 2026Updated 3 weeks ago
- This repository contains a Matlab suite to construct weak-instrument robust confidence intervals for impulse response coefficients in Str…☆26Apr 20, 2020Updated 6 years ago
- ☆33Dec 22, 2025Updated 6 months ago
- Managed Database hosting by DigitalOcean • AdPostgreSQL, MySQL, MongoDB, Kafka, Valkey, and OpenSearch available. Automatically scale up storage and focus on building your apps.
- Bayesian Macroeconometrics in R☆93Jul 18, 2022Updated 4 years ago
- Replication code for "Monetary Policy, Credit Spreads, and Business Cycle Fluctuations"☆19Jun 14, 2018Updated 8 years ago
- Bayesian SVARs with Sign, Zero, and Narrative Restrictions☆30Updated this week
- MCMC estimation of Bayesian Vectorautoregressions☆11Mar 3, 2026Updated 4 months ago
- Toolkit for the estimation of hierarchical Bayesian vector autoregressions. Implements hierarchical prior selection for conjugate priors …☆57Apr 28, 2026Updated 2 months ago
- Vector autoregressive model in Julia☆38Jun 22, 2022Updated 4 years ago
- Functions for Bayesian inference of vector autoregressive and vector error correction models☆34Sep 28, 2024Updated last year
- A curated list of Vector Autoregression resources☆67Apr 19, 2026Updated 3 months ago
- State-Dependent Empirical Analysis: tools for state-dependent forecasts, impulse response functions, historical decomposition, and foreca…☆17Nov 7, 2022Updated 3 years ago
- Managed hosting for WordPress and PHP on Cloudways • AdManaged hosting for WordPress, Magento, Laravel, or PHP apps, on multiple cloud providers. Deploy in minutes on Cloudways by DigitalOcean.
- Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models☆18Aug 31, 2023Updated 2 years ago
- Matlab library for Time Varying Parameter Vector Auto Regressions with Stochastic Volatility (Bayesian solution)☆13Jan 11, 2018Updated 8 years ago
- Accompanying package of the book 'Financial Risk Modelling and Portfolio Optimisation with R', second edition. The data sets used in the …☆13Dec 7, 2016Updated 9 years ago
- R Implementation of the Time Varying Cointegration by Bierens and Martins 2010☆10Apr 14, 2016Updated 10 years ago
- R package for solving cone constrained convex optimization problems.☆18Sep 27, 2025Updated 9 months ago
- Dynamic Factor Models for R☆44Jun 18, 2026Updated last month
- This repository accompanies our paper, “The BIS Multisector Model: A Multi-Country Environment for Macroeconomic Analysis”, authored by M…☆19May 4, 2026Updated 2 months ago
- R package to download Prof. Kenneth French data sets☆14Mar 22, 2024Updated 2 years ago
- Factor-Based Imputation for Missing Data☆66Jan 24, 2025Updated last year
- Wordpress hosting with auto-scaling - Free Trial Offer • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- Out-Of-Sample Time Series Forecasting: OOS introduces a comprehensive framework for time series forecasting with traditional econometric …☆11Mar 30, 2021Updated 5 years ago
- ☆53Feb 22, 2026Updated 4 months ago
- ☆17Oct 20, 2021Updated 4 years ago
- Econometric Analysis of Explosive Time Series☆32Sep 19, 2025Updated 10 months ago
- A collection of Rfast2 functions for data analysis. Note 1: The vast majority of the functions accept matrices only, not data.frames. N…☆43Mar 5, 2026Updated 4 months ago
- KITE — Kiel Institute Trade Policy Evaluation Model☆15May 12, 2026Updated 2 months ago
- A terribly-simple data base for time series☆14Mar 25, 2026Updated 3 months ago