naffe15/BVAR_

Ambrogio Cesa-Bianchi's VAR Toolbox

Solution and estimation of Markov Switching Rational Expectations / DSGE Models

Bayesian Estimation of Structural Vector Autoregressive Models

A Matlab Toolkit for Macroeconomic Models using Value Function Iteration

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

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.

ARCH models in Python

Empirical Dynamic Modeling

Code and templates for Linzenich, J., and Meunier, B. (2024). "Nowcasting Made Easier: a Toolbox for Real-Time Predictions". Working Paper Series, No 3004, European Central Bank