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Hi, I saw statsmodel currently has VAR
https://www.statsmodels.org/dev/generated/statsmodels.tsa.vector_ar.var_model.VAR.html
But, I didn't find VAR for panel dataset.
Could you please consider a…
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Given that the library contains excellent VAR and DAR implementations, a Dynamic VAR class would be a great addition. The Statsmodels version hasn't been maintained for a long time (currently broken)…
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The `AR` distribution appears to be nearly complete for usage as a true vector autoregression parameterized by `p` cross-series coefficients, each of shape `(d,d)`. The main change that has to be enac…
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#### Describe the solution you'd like
Be able to build a VAR model with only specific coefficients. This would be helpful so that we can identify coefficients with a pvalue indicating significance an…
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NumPyro is quite a good package about probabilistic programming, I have seen there is a tutorial about AR(2).
Cause VAR is quite important in economics, wish you and your team could post a tutoria…
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Hi Matt,
First of all, thanks for all you are doing around modeltime. It's clearly a big step forward for TimeSeries modeling.
Perhaps it is already covered but I am not able to see if in modelt…
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Where can one obtain this dataset for the Bayesian VAR example?
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question on mailing list for sparse VAR
https://groups.google.com/d/msg/pystatsmodels/NWurUtjX9Qg/98xpoTIuBQAJ
reference
Davis, Richard A., Pengfei Zang, and Tian Zheng. 2015. “Sparse Vector Autoregr…
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Would you be interested in having `nnetar` being able to jointly fit/forecast multiple time series? (essentially turning it into "nnetVar" to do vector autoregression)
`nnet` can already handle multi…
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## Papers we should implement
## SVARs
- [x] [Antolín-Díaz & Rubio-Ramírez (2018, AER)](https://doi.org/10.1257/aer.20161852) - narrative sign restrictions
- [x] [Arias, Rubio-Ramírez & Waggone…