vector-autoregressions

There are 3 repositories under vector-autoregressions topic.

  • 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.

    Language:R4759220

  • nk027/BVARverse

    Functions to prepare and visualise tidy objects from BVAR.

    Language:R2131

  • Jsos17/A_Vector_Autoregressive_Model

    Building a vector autoregressive model with R. My coursework for the course Time Series Analysis II (offered by University of Helsinki's Master's Programme in Mathematics and Statistics), spring 2020.

    Language:TeX1101