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. Explore the documentation and tutorials for hands-on notebooks. ...