nk027 / bvar
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.
☆51Updated 3 months ago
Alternatives and similar repositories for bvar:
Users that are interested in bvar are comparing it to the libraries listed below
- Functions for Bayesian inference of vector autoregressive and vector error correction models☆31Updated 4 months ago
- R package for Mixed-Frequency Bayesian VARs☆38Updated 3 years ago
- R Package for data driven SVAR identification of impulse response functions☆46Updated 2 years ago
- Multivariate Time Series Models: VAR, SVAR and SVEC☆43Updated 2 years ago
- Dynamic Factor Models for R☆31Updated 4 months ago
- R package for Bayesian Vector Autoregression☆30Updated 4 years ago
- Analysis of the Primiceri (REStud, 2005) model☆29Updated 5 months ago
- Toolbox for the estimation of Bayesian Global Vector Autoregressions in R.☆27Updated 2 months ago
- MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"☆30Updated 3 months ago
- Bayesian Macroeconometrics in R☆87Updated 2 years ago
- Estimating VARs using sign restrictions in R☆19Updated 8 years ago
- Partial re-write of the R package stochvol to allow for asymmetry (leverage).☆15Updated 3 months ago
- ☆44Updated last year
- Bayesian Estimation of Structural Vector Autoregressive Models☆45Updated this week
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆26Updated last year
- R package for Dynamic Factor Models with mixed frequencies and unbalanced panel☆101Updated 2 years ago
- R/C++ implementation of Bayes VAR models☆17Updated 5 years ago
- tsDyn☆34Updated 3 months ago
- Collection of lecture notes and excercises for a course "Machine Learning in Econometrics"☆22Updated 8 years ago
- r package for bayesian VARs☆22Updated 7 years ago
- Set of R functions for high-dimensional econometrics☆31Updated 4 years ago
- Bayesian SVARs with Sign, Zero, and Narrative Restrictions☆13Updated 2 weeks ago
- Factor-Based Imputation for Missing Data☆57Updated 3 weeks ago
- Vector Autoregression augmented with deep learning.☆15Updated last year
- ☆18Updated 5 years ago
- ☆14Updated last year
- ☆16Updated 9 months ago
- A curated list of Vector Autoregression resources☆54Updated last year
- Repository for GARCH tutorial paper in RAC☆29Updated 4 years ago
- Honest inference in regression discontinuity designs☆58Updated last month