Awesome VAR

A curated list of Vector Autoregression resources.

Table of Contents:

• MATLAB

  • Toolboxes
  • Collection of Codes

• R

  • CRAN
  • Github

• Other Software

• Uncategorized

• Other

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

• Dimitris Korobilis 
• James Hamilton
• Harron Mumtaz
• Gianni Amisano 
• Jouchi Nakajima  
• James Hamilton  
• Tao Zha
• Gary Koop 
• Joshua Chan: Bayesian Econometric Methods
• Carlo Favero: Econometric Methods for Finance and Macroeconomics
• Jouchi Nakajima: TVP & SV
• Silvia Miranda-Agrippino: BVAR, LP, & BLP | PROXY SVAR / SVAR-IV | FACTOR MODELS
• ZeroSignVAR: A zero and sign restriction algorithm implemented in MATLAB, (M. Geiger and F. Sindermann) Vignette, Package.

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

• VectorAutoregressions.jl: Vector autoregressive models for Julia

Stata:

• Panel VAR estimation(Inessa Love).

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

• Kilian and Lutkepohl: Code for the book 'Structural Vector Autoregressive Analysis'
• Christiane Baumeister
• James D. Hamilton
• Eric Sims
• David Gabauer
• Toru Kitagawa: BVAR, Narrative & Sign Restrictions

Other

• https://www.r-econometrics.com/timeseries/varintro/