hirothreading/VARToolbox.jl

A Julia port of Ambrogio Cesa-Bianchi's VAR Toolbox: VAR estimation, five identification schemes, IRFs, FEVD, historical decompositions, bootstrap bands, local projections. Validated against the MATLAB original at rtol=1e-10.

语言：Julia · GitHub 星标：4 · Fork：2

话题：econometrics · impulse-response · julia · macroeconomics · time-series · var · vector-autoregression

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