Code

Bayesian Threshold Vector Autoregression

This repository provides sample code for estimating a Bayesian threshold vector autoregression and generating regime-specific and evolving-state generalised impulse responses.

Bayesian Fiscal Structural Vector Autoregression

This repository provides a simple example of a Bayesian fiscal structural vector autoregression based on Blanchard and Perotti (2002). It is intended for anyone who wants to get started with Bayesian VAR models.