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nk027 / bvar

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.
https://cran.r-project.org/package=BVAR
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Pandemic Priors #91

Open tonylwy opened 5 months ago

tonylwy commented 5 months ago

Is it possible to implement this through "bv_dummy"?

https://www.bde.es/f/webbe/INF/MenuHorizontal/noticias-eventos/conferencias/2023/Pandemic_priors.pdf

nk027 commented 5 months ago

I think it would need a moderate change to the current implementation since the dummy-observations are for additional regressors. At the moment, the code is taking the columns as given and just stacking additional observations on top.