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Bayesian Macroeconometrics in R

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.

Bvartools ⭐ 27

Functions for Bayesian inference of vector autoregressive and vector error correction models

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Bayesian Bvar (4)

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