nk027 / bvarLinks
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.
☆57Updated 10 months ago
Alternatives and similar repositories for bvar
Users that are interested in bvar are comparing it to the libraries listed below
Sorting:
- Functions for Bayesian inference of vector autoregressive and vector error correction models☆33Updated 11 months ago
- R Package for data driven SVAR identification of impulse response functions☆49Updated 3 weeks ago
- R package for Mixed-Frequency Bayesian VARs☆42Updated 4 years ago
- MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"☆35Updated 11 months ago
- Bayesian Macroeconometrics in R☆91Updated 3 years ago
- ☆49Updated last month
- Analysis of the Primiceri (REStud, 2005) model☆32Updated last year
- Toolbox for the estimation of Bayesian Global Vector Autoregressions in R.☆31Updated 9 months ago
- Bayesian Estimation of Structural Vector Autoregressive Models☆54Updated last month
- Multivariate Time Series Models: VAR, SVAR and SVEC☆45Updated 3 years ago
- Estimating VARs using sign restrictions in R☆21Updated 9 years ago
- Dynamic Factor Models for R☆39Updated last month
- Factor-Based Imputation for Missing Data☆58Updated 7 months ago
- Collection of lecture notes and excercises for a course "Machine Learning in Econometrics"☆23Updated 9 years ago
- Honest inference in regression discontinuity designs☆62Updated 9 months ago
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆29Updated 2 years ago
- R package for Dynamic Factor Models with mixed frequencies and unbalanced panel☆102Updated 3 years ago
- R package for Bayesian Vector Autoregression☆31Updated 5 years ago
- Set of R functions for high-dimensional econometrics☆37Updated 5 years ago
- Bayesian SVARs with Sign, Zero, and Narrative Restrictions☆21Updated 2 months ago
- Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models☆17Updated 2 years ago
- R/C++ implementation of Bayes VAR models☆22Updated 5 years ago
- Partial re-write of the R package stochvol to allow for asymmetry (leverage).☆17Updated last month
- Macroeconomics at Claremont Graduate University☆46Updated 6 years ago
- Vector Autoregression augmented with deep learning.☆17Updated last year
- ☆19Updated 6 years ago
- The Bayesian Estimation, Analysis and Regression toolbox (BEAR) is a comprehensive (Bayesian Panel) VAR toolbox for forecasting and polic…☆120Updated 9 months ago
- A package for shrinkage estimation of covariance matrices☆12Updated last year
- ☆15Updated last year
- R Companion to the textbook "Econometrics" by Fumio Hayashi☆37Updated 2 years ago