Julia implementation of multi-variate time series models, such as vector autoregressive (VAR) and vector error correction (VECM) models.

Master's Thesis - A Replication of Metcalf and Stock (2020): The Macroeconomic Impact of Carbon Taxes

This code lets you conduct the following commands: VAR model creation, simplification, checking, prediction, Impulse Response Function, Granger Causality.