There are 1 repository under bvar topic.
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.
Functions for Bayesian inference of vector autoregressive and vector error correction models
Bayesian Econometrics 2023 at unimelb: slides for lecture 7: Bayesian VARs
replication code for „Shadow-Rate VARs“ by Carriero, Clark, Marcellino and Mertens
Codes for BVHAR Research