README.md

In morner75/bayesVAR: Bayesian Vector Autoregressive model

Baysian Vector Autoregression

This is a study project for Bayesian vector autoregression. It aims to replace the BEARS toolbox of MATLAB developed by the European Central Bank (ECB) to design macroeconomic scenarios for stress-testing South Korea's financial institutions in the Financial Supervisory Service. The main functions are focused on conditional forecasting given structural shock in the financial market.

limitations

This package is developed with only $\texttt{R}$, and so the implementation of the function may seem to be slow. I have a plan to write the Monte Carlo simuation part of the package with $\texttt{C++}$, but it may take time considering other priorities.

morner75/bayesVAR documentation built on April 6, 2024, 7:25 a.m.