BVAR (Q1354454): Difference between revisions
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Revision as of 12:44, 4 March 2024
Hierarchical Bayesian Vector Autoregression
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | BVAR |
Hierarchical Bayesian Vector Autoregression |
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16 February 2024
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Estimation of hierarchical Bayesian vector autoregressive models following Kuschnig & Vashold (2021) <doi:10.18637/jss.v100.i14>. Implements hierarchical prior selection for conjugate priors in the fashion of Giannone, Lenza & Primiceri (2015) <doi:10.1162/REST_a_00483>. Functions to compute and identify impulse responses, calculate forecasts, forecast error variance decompositions and scenarios are available. Several methods to print, plot and summarise results facilitate analysis.
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