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BayVAR: Bayesian Vector of Autoregressions

version 1.0.0.0 (1.1 MB) by Enrique M. Quilis
VAR modeling with

329 Downloads

Updated 22 Apr 2018

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BayVAR is a MATLAB library designed to estimate and analyze Vector Autoregressive (VAR) models from a Bayesian perspective. BayVAR performs unrestricted as well as Bayesian estimation, using several types of priors (Minnesota/Litterman, Canova, Raynauld-Simonato, ...). Calibration of the hyperparameters by axial search is also included as well as forecasting and canonical (Box-Tiao) analysis.

Cite As

Enrique M. Quilis (2021). BayVAR: Bayesian Vector of Autoregressions (https://www.mathworks.com/matlabcentral/fileexchange/67032-bayvar-bayesian-vector-of-autoregressions), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2017a
Compatible with any release
Platform Compatibility
Windows macOS Linux

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