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.
Hi,
To what extent someone can reproduce or use the methods here:
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3669856
And more specifically, is possible to do a scenario of an anticipated vs unanticipated shock? and narrative sign restrictions as in this paper:
https://www.aeaweb.org/articles?id=10.1257/aer.20161852
Also, I would like to bring to your attention the BEAR toolbox by ECB which has functionalities which for forecasting purposes is standard:
https://www.ecb.europa.eu/pub/research/working-papers/html/bear-toolbox.en.html