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:
- R code to perform the Lee Strazicich unit root test☆10Aug 8, 2017Updated 9 years ago
- 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 11 months ago
- Quantitative Risk Management Concepts☆12Sep 27, 2016Updated 9 years ago
- 1-Click AI Models by DigitalOcean Gradient • AdDeploy popular AI models on DigitalOcean Gradient GPU virtual machines with just a single click. Zero configuration with optimized deployments.
- SVAR toolbox for bayesian VAR estimation and a range of identification methods☆11Feb 16, 2025Updated last year
- Toolbox for the estimation of Bayesian Global Vector Autoregressions in R.☆35Jan 3, 2026Updated 8 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 5 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☆157Sep 13, 2026Updated last week
- This repository contains a Matlab suite to construct weak-instrument robust confidence intervals for impulse response coefficients in Str…☆30Apr 20, 2020Updated 6 years ago
- 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.
- ☆33Dec 22, 2025Updated 8 months ago
- 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☆32Sep 3, 2026Updated 2 weeks ago
- A curated list of Vector Autoregression resources☆68Aug 6, 2026Updated last month
- MCMC estimation of Bayesian Vectorautoregressions☆11Mar 3, 2026Updated 6 months ago
- Toolkit for the estimation of hierarchical Bayesian vector autoregressions. Implements hierarchical prior selection for conjugate priors …☆59Apr 28, 2026Updated 4 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☆34Updated this week
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models☆18Sep 11, 2026Updated last week
- 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 11 months ago
- Dynamic Factor Models for R☆47Jun 18, 2026Updated 3 months ago
- This repository accompanies our paper, “The BIS Multisector Model: A Multi-Country Environment for Macroeconomic Analysis”, authored by M…☆19May 4, 2026Updated 4 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
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- Out-Of-Sample Time Series Forecasting: OOS introduces a comprehensive framework for time series forecasting with traditional econometric …☆11Mar 30, 2021Updated 5 years ago
- State-Dependent Empirical Analysis: tools for state-dependent forecasts, impulse response functions, historical decomposition, and foreca…☆17Nov 7, 2022Updated 3 years ago
- ☆54Feb 22, 2026Updated 6 months ago
- ☆17Oct 20, 2021Updated 4 years ago
- Econometric Analysis of Explosive Time Series☆32Updated this week
- 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 6 months ago
- KITE — Kiel Institute Trade Policy Evaluation Model☆16Sep 14, 2026Updated last week