svar
There are 12 repositories under svar topic.
wmutschl/Quantitative-Macroeconomics
Course on Quantitative Macroeconomics (Master/PhD level)
lucabrugnolini/VectorAutoregressions.jl
Vector autoregressive model in Julia
mauep2025/Global-Oil-Market
This code show the SVAR results from the paper: "Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market," American Economic Review, vol. 99(3), pages 1053-1069, June. Specifically: Cholesky Decomposition, Structural Impulse Response, Historical Evolution of the Structural Shock, Historical Decompositio of the Structural Shocks and the Forecast Error Variance Decomposition
ttomrp/SVAR-IV
Package and test files for SVARIV. Used for Masters thesis, "Oil Price and the Stock Market: A Structural VAR Model Identified with an External Instrument"
bachmeil/handbook
Code, data, and additional materials for our chapter in the Handbook of Energy Economics
VFCI/vfci
Code to reproduce paper Adrian, Duarte and Iyer (2023), “The Market Price of Risk and Macro-Financial Dynamics”
anguyen1210/var-tools
Helper functions for `vars` and `lpirfs` packages
mauep2025/Forecasting-the-Yield-Curve
The aim of this code is to show the preliminary results of the forecast for the term structure (with different maturities) of the Mexican government bonds using different types of models.
elmarmertens/CCMMshadowrateVAR-code
replication code for „Forecasting with Shadow-Rate VARs“ by Carriero, Clark, Marcellino and Mertens
BaptisteBourrillon/Quantitative_macroeconomics
The folder contains examples and codes developed in the Willy Mutchler lecture's at the Tübingen University . The course deals with estimation of SVAR and DSGE models
darthtwin/Rprojects
SVAR in R programming language.