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 a range of functionalities for assessing results.
Giannone, D., Lenza, M., & Primiceri, G. E. (2015). Prior Selection for Vector Autoregressions. Review of Economics and Statistics, 97, 436-451. https://doi.org/10.1162/REST_a_00483.