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.
☆57Apr 28, 2026Updated this week
Alternatives and similar repositories for bvar
Users that are interested in bvar are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Functions for Bayesian inference of vector autoregressive and vector error correction models☆34Sep 28, 2024Updated last year
- r package for bayesian VARs☆23Dec 12, 2017Updated 8 years ago
- R package for Mixed-Frequency Bayesian VARs☆45May 11, 2021Updated 4 years ago
- Analysis of the Primiceri (REStud, 2005) model☆32Sep 5, 2024Updated last year
- R package for Bayesian Vector Autoregression☆34Jul 2, 2020Updated 5 years ago
- 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.
- MCMC estimation of Bayesian Vectorautoregressions☆10Mar 3, 2026Updated 2 months ago
- Bayesian Macroeconometrics in R☆91Jul 18, 2022Updated 3 years ago
- ☆53Dec 8, 2025Updated 4 months ago
- R Package for data driven SVAR identification of impulse response functions☆55Oct 18, 2025Updated 6 months ago
- R/C++ implementation of Bayes VAR models☆21Nov 12, 2019Updated 6 years ago
- Sparse regression of mixed-frequency VectorAutoregressions☆10May 11, 2022Updated 3 years ago
- Bayesian Estimation of Structural Vector Autoregressive Models☆62Apr 9, 2026Updated 3 weeks ago
- The Bayesian Estimation, Analysis and Regression toolbox (BEAR) is a comprehensive (Bayesian Panel) VAR toolbox for forecasting and polic…☆131Mar 23, 2026Updated last month
- Bayesian SVARs with Sign, Zero, and Narrative Restrictions☆29Apr 19, 2026Updated 2 weeks ago
- GPU virtual machines on DigitalOcean Gradient AI • AdGet to production fast with high-performance AMD and NVIDIA GPUs you can spin up in seconds. The definition of operational simplicity.
- 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.☆34Jan 3, 2026Updated 4 months ago
- MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"☆38Oct 30, 2025Updated 6 months ago
- MATLAB code to replicate Koop and Korobilis (2014) A new index of financial conditions. European Economic Review☆22Jun 4, 2025Updated 11 months ago
- Empirical macro toolbox☆148Nov 26, 2025Updated 5 months ago
- R-package: Bayesian variable selection, model choice, and regularized estimation for (spatial) generalized additive mixed regression …☆14Oct 22, 2024Updated last year
- Partial re-write of the R package stochvol to allow for asymmetry (leverage).☆17Apr 11, 2026Updated 3 weeks ago
- Dynamic Factor Models for R☆45Apr 24, 2026Updated last week
- R package recreating econometric methods proposed in "Why You Should Never Use the Hodrick-Prescott Filter" by James Hamilton☆21Aug 21, 2025Updated 8 months ago
- Virtual machines for every use case on DigitalOcean • AdGet dependable uptime with 99.99% SLA, simple security tools, and predictable monthly pricing with DigitalOcean's virtual machines, called Droplets.
- Topics in Distributional Macroeconomics @ Tinbergen Institute☆13Mar 6, 2025Updated last year
- ☆54Feb 22, 2026Updated 2 months ago
- Functions and replication files for Peter Phillips and Zhentao Shi (2021): "Boosting: Why You Can Use the HP Filter"☆31Jan 15, 2023Updated 3 years ago
- Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.☆27Jan 25, 2018Updated 8 years ago
- ☆20Mar 21, 2019Updated 7 years ago
- Introduction to Bayesian Econometrics☆14Nov 6, 2020Updated 5 years ago
- Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.☆24Jan 22, 2024Updated 2 years ago
- Barcelona GSE Macroeconometrics Summer School 2018 course☆15Jun 28, 2018Updated 7 years ago
- Course on Macroeconometrics (graduate level)☆60Apr 8, 2022Updated 4 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.
- Multivariate Time Series Models: VAR, SVAR and SVEC☆47Mar 25, 2022Updated 4 years ago
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆30May 23, 2023Updated 2 years ago
- Mixed Frequency State Space toolbox☆17Jan 29, 2024Updated 2 years ago
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Feb 18, 2021Updated 5 years ago
- Local Projections by Oscar Jorda and Alan Taylor. STATA code☆52Aug 19, 2024Updated last year
- Estimating VARs using sign restrictions in R☆22Mar 29, 2016Updated 10 years ago
- Ambrogio Cesa-Bianchi's VAR Toolbox☆139Mar 23, 2026Updated last month