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donotdespair / Bayesian-Autoregressions

A collaborative repository highlighting Bayesian autoregressive analysis with extensions. It is prepared by the students of Macroeconometrics at the University of Melbourne.
https://donotdespair.github.io/Bayesian-Autoregressions/
MIT License
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Ray and Corwin Part 2 - Estimating VARs after 2020 #12

Closed rayccg closed 1 year ago

rayccg commented 1 year ago

Dear @donotdespair

Sending here the commit (26a4d9bb3f006a206abf0259b90e94aadbf24d7d) for the Algorithm with Code subsection of the section assigned to @Wintersend and myself.

This contains the step-by-step procedure of running the Metropolis MCMC and estimating VARs using this extension. It also has a demonstration using a bivariate RW w/ drift and heteroskedasticity, where the MCMC converged to a somewhat stationary series! (at least in my eyes though I am not sure).

Thank you very much.

Respectfully, Ray

donotdespair commented 1 year ago

Hey @rayccg

Fantastic! This is a great submission! I adjusted the notation to the AR model in the text, but I still have to see if this is all fine. I will also go through the code to see if it can adjust it to the AR setting. This should not be too difficult!

Thank you so much!