BVAR

Estimation of hierarchical Bayesian vector autoregressive models following Kuschnig & Vashold (2021) . Implements hierarchical prior selection for conjugate priors in the fashion of Giannone, Lenza & Primiceri (2015) . Functions to compute and identify impulse responses, calculate forecasts, forecast error variance decompositions and scenarios are available. Several methods to print, plot and summarise results facilitate analysis.

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