bsvars/bsvars

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 for the computation of impulse responses and forecasts and provides functionality for assessing results.

Ambrogio Cesa-Bianchi's VAR Toolbox

Empirical macro toolbox

{mvgam} R 📦 to fit Dynamic Bayesian Generalized Additive Models for multivariate modeling and forecasting

An R package for Bayesian structural equation modeling

High-performance time series econometrics: Rust core, Python-first API — validated estimators, a 15-chapter guide, and honest inference by default

Empirical Dynamic Modeling

DoubleML - Double Machine Learning in R

Solution and estimation of Markov Switching Rational Expectations / DSGE Models