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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 fo...
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Functions for Bayesian inference of vector autoregressive and vector error correction models
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#时序数据库#R and Python package to model Bayesian VAR and VHAR models
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replication code for „Forecasting with Shadow-Rate VARs“ by Carriero, Clark, Marcellino and Mertens
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