Installation
About
Efficient Markov Chain Monte Carlo (MCMC) algorithms for the fully Bayesian estimation of vectorautoregressions (VARs) featuring stochastic volatility (SV). Implements state-of-the-art shrinkage priors following Gruber & Kastner (2023)
github.com/luisgruber/bayesianVARs | |
luisgruber.github.io/bayesianVARs/ | |
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