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.
At the very least plots for prediction should include some of the time series itself.
Also we might add an option for shaded areas vs. lines. Note that there might be more than 3 quants?