Bayesian VARs in Python
We will explore step by step how to estimate a Bayesian Vector Autoregression (BVAR) in Python, covering the theory and implementation from scratch: 📊 Data preparation 📏 Prior distributions and initial values 🧮 Gibbs sampling for posterior simulation 🔁 Structural identification and impulse response estimation Finally, we’ll show how this process becomes much simpler using MacroPy, an early-stage Python package that could be a great fit if you’re into macroeconometrics. ...