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.
I don't see any function for diagnostics (forecast evaluations) and model selection.
For example, specifying the right lag order and evaluating the accuracy of the forecasts.
Hi,
I don't see any function for diagnostics (forecast evaluations) and model selection. For example, specifying the right lag order and evaluating the accuracy of the forecasts.
Can you please help?