bayesian-var

Here are 3 public repositories matching this topic...

franzmohr / bvartools

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

bayesian bayesian-inference r-package mcmc gibbs-sampling vector-autoregression bvar bayesian-var bvecm vector-error-correction-model

Updated Sep 28, 2024
R

elmarmertens / CCMMoutlierVAR-code

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Replication code for Addressing COVID-19 Outliers in BVARs with Stochastic Volatility“ by Carriero, Clark, Marcellino and Mertens (2021), Work in Progress

forecasting outlier-detection outlier-removal bayesian-var covid-19

Updated Jan 2, 2023
MATLAB

BarneyE1988 / abe_cb_r

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Applied Bayesian Econometrics for Central Bankers in R

bayesian-var bayesian-time-series applied-bayesian-econometrics central-bankers

Updated Feb 19, 2021
R

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