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.

语言：R · GitHub 星标：59 · Fork：23

话题：bayesian · bvar · forecasts · impulse-responses · vector-autoregressions

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