Multivariate Time Series Models: VAR, SVAR and SVEC
☆46Mar 25, 2022Updated 3 years ago
Alternatives and similar repositories for vars
Users that are interested in vars are comparing it to the libraries listed below
Sorting:
- Time varying vector autoregressive state space modeling of community interactions in a Bayesian framework☆12Oct 4, 2021Updated 4 years ago
- Partial re-write of the R package stochvol to allow for asymmetry (leverage).☆17Oct 13, 2025Updated 4 months ago
- r package for bayesian VARs☆23Dec 12, 2017Updated 8 years ago
- R Package for data driven SVAR identification of impulse response functions☆55Oct 18, 2025Updated 4 months ago
- R/C++ implementation of Bayes VAR models☆21Nov 12, 2019Updated 6 years ago
- R package for Mixed-Frequency Bayesian VARs☆45May 11, 2021Updated 4 years ago
- Toolbox for the estimation of Bayesian Global Vector Autoregressions in R.☆32Jan 3, 2026Updated last month
- State-Dependent Empirical Analysis: tools for state-dependent forecasts, impulse response functions, historical decomposition, and foreca…☆16Nov 7, 2022Updated 3 years ago
- Bayesian Macroeconometrics in R☆92Jul 18, 2022Updated 3 years ago
- MCMC estimation of Bayesian Vectorautoregressions☆10Updated this week
- R package for mixed frequency time series data analysis.☆82Apr 7, 2025Updated 10 months ago
- Estimating VARs using sign restrictions in R☆22Mar 29, 2016Updated 9 years ago
- Quantitative Risk Management Concepts☆12Sep 27, 2016Updated 9 years ago
- R package to download Prof. Kenneth French data sets☆14Mar 22, 2024Updated last year
- Toolkit for the estimation of hierarchical Bayesian vector autoregressions. Implements hierarchical prior selection for conjugate priors …☆57Nov 12, 2024Updated last year
- Functions for Bayesian inference of vector autoregressive and vector error correction models☆34Sep 28, 2024Updated last year
- Dynamic Factor Models for R☆43Feb 7, 2026Updated 3 weeks ago
- Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models☆18Aug 31, 2023Updated 2 years ago
- Bayesian SVARs with Sign, Zero, and Narrative Restrictions☆29Jun 25, 2025Updated 8 months ago
- Econometric Analysis of Explosive Time Series☆31Sep 19, 2025Updated 5 months ago
- This repository contains a Matlab suite to construct weak-instrument robust confidence intervals for impulse response coefficients in Str…☆22Apr 20, 2020Updated 5 years ago
- A curated list of Vector Autoregression resources☆63Jun 20, 2023Updated 2 years ago
- Analysis of the Primiceri (REStud, 2005) model☆32Sep 5, 2024Updated last year
- Vector autoregressive model in Julia☆36Jun 22, 2022Updated 3 years ago
- R package recreating econometric methods proposed in "Why You Should Never Use the Hodrick-Prescott Filter" by James Hamilton☆21Aug 21, 2025Updated 6 months ago
- Empirical macro toolbox☆145Nov 26, 2025Updated 3 months ago
- Sparse regression of mixed-frequency VectorAutoregressions☆10May 11, 2022Updated 3 years ago
- R Implementation of the Time Varying Cointegration by Bierens and Martins 2010☆10Apr 14, 2016Updated 9 years ago
- ☆32Dec 22, 2025Updated 2 months ago
- ☆10Nov 18, 2024Updated last year
- A collection of Rfast2 functions for data analysis. Note 1: The vast majority of the functions accept matrices only, not data.frames. N…☆42Oct 20, 2025Updated 4 months ago
- Dynamic factor model estimation for R☆25Oct 17, 2022Updated 3 years ago
- Matlab library for Time Varying Parameter Vector Auto Regressions with Stochastic Volatility (Bayesian solution)☆13Jan 11, 2018Updated 8 years ago
- Factor-Based Imputation for Missing Data☆62Jan 24, 2025Updated last year
- Simulation study of Local Projections, VARs, and related estimators☆50Feb 15, 2025Updated last year
- Fortran for Economists☆10Feb 16, 2024Updated 2 years ago
- Replication code for simulating and estimation by GMM of DSGE models with higher-order statistics☆11Apr 8, 2022Updated 3 years ago
- A terribly-simple data base for time series☆14Dec 16, 2025Updated 2 months ago
- Quantile Local Projections☆12Aug 8, 2022Updated 3 years ago