/awesome-var

A curated list of Vector Autoregression resources.

Awesome VAR

Awesome

A curated list of Vector Autoregression resources.

Table of Contents:

MATLAB

Toolboxes

  • Mathworks Manual: Vector Autoregression Models
  • VAR Toolbox: Collection of Matlab routines to perform VAR analysis (Ambrogio Cesa-Bianchi)
  • BVAR_: Empirical macro toolbox (F. Ferroni and F. Canova)
  • IRIS Toolbox: Macroeconomic Modeling Toolbox
  • BEARToolbox: The Bayesian Estimation, Analysis and Regression toolbox (BEAR)
  • GVAR Toolbox: Global VAR Modelling

Collection of Codes

R

CRAN

  • vars: VAR Modelling
  • VARsignR: Sign Restrictions, Bayesian, Vector Autoregression Models
  • svars: Data-Driven Identification of SVAR Models
  • bvarsv: Bayesian Analysis of a Vector Autoregressive Model with Stochastic Volatility and Time-Varying Parameters
  • bsvars: Bayesian Estimation of Structural Vector Autoregressive Models
  • bvartools: Functions for Bayesian inference of vector autoregressive models
  • BVAR: Hierarchical Bayesian Vector Autoregression
  • mfbvar: Mixed-Frequency Bayesian VARs
  • ragt2ridges: Ridge Estimation of Vector Auto-Regressive (VAR) Processes
  • BHSBVAR: Structural Bayesian Vector Autoregression Models
  • panelvar: Panel Vector Autoregression
  • gmvarkit: Estimate Gaussian Mixture Vector Autoregressive Model
  • tsDyn: Nonlinear Time Series Models with Regime Switching
  • GVARX: Perform Global Vector Autoregression Estimation and Inference
  • lpirfs: Local Projections Impulse Response Functions
  • BGVAR: Bayesian Global Vector Autoregressions
  • hdiVAR: Statistical Inference for Noisy Vector Autoregression
  • BVARverse: Tidy Bayesian Vector Autoregression
  • VARshrink: Shrinkage Estimation Methods for Vector Autoregressive Models
  • onlineVAR: Online Fitting of Time-Adaptive Lasso Vector Auto Regression
  • VARtests: Tests for Error Autocorrelation, ARCH Errors, and Cointegration in Vector Autoregressive Models
  • StVAR: Student's t Vector Autoregression (StVAR)
  • MTS: All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models
  • multivar: Penalized Estimation of Multiple-Subject Vector Autoregressive (multi-VAR) Models
  • mlVAR: Multi-Level Vector Autoregression
  • FCVAR: Estimation and Inference for the Fractionally Cointegrated VAR
  • bigtime: Sparse Estimation of Large Time Series Models
  • starvars: Vector Logistic Smooth Transition Models Estimation and Prediction
  • FAVAR: Bayesian Analysis of a FAVAR Model
  • lpirfs: Local Projections Impulse Response Functions
  • LSVAR: Estimation of Low Rank Plus Sparse Structured Vector Auto-Regressive (VAR) Model
  • BigVAR: Dimension Reduction Methods for Multivariate Time Series

Github

  • lbvar: Estimate Large Bayesian VARs
  • bvars: Bayesian Vector Autoregression
  • bvarrKK: Translation Of Koop And Korobilis BVAR Matlab Code Into RbvarrKK
  • bvarr: R package for bayesian VARs
  • BMR: Bayesian Macroeconometrics in R
  • bayesVAR_TVP: R/C++ implementation of Bayes VAR models
  • Large-TVP-VAR: Large Time-Varying Parameter VAR
  • rbvar: Robust Bayesian VAR
  • varexternal: Vector Autoregressive Model with an External Instrument in R

Other Software

Python

  • statsmodel: Vector Autoregressions
  • VARSMA: Vector Autoregressive with scalar Moving Average Model
  • Kats: One stop shop for time series analysis in Python

Julia

Stata:

C++

  • tsf_var: Analyze and forecast time series using VAR models.

Eviews

  • Manual: Vector Autoregression And Error Correction Models
  • StructVARQuantitative Macroeconomic Modelling with Structural Vector Autogregressions

Uncategorized

Other