BayVAR is a MATLAB library designed to estimate and analyze Vector Autoregressive (VAR) models from a Bayesian perspective. BayVAR performs unrestricted as well as Bayesian estimation, using several types of priors (Minnesota/Litterman, Canova, Raynauld-Simonato, ...). Calibration of the hyperparameters by axial search is also included as well as forecasting and canonical (Box-Tiao) analysis.
Enrique M. Quilis (2021). BayVAR: Bayesian Vector of Autoregressions (https://www.mathworks.com/matlabcentral/fileexchange/67032-bayvar-bayesian-vector-of-autoregressions), MATLAB Central File Exchange. Retrieved .
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