Bayesian VAR toolbox for Inference, Prediction and Causality
by F. Ferroni and F. Canova
The Bayesian VAR toolbox is a new package that includes MATLAB/Octave functions to estimate VAR models with Bayesian methods. The toolbox allows to conduct inference under various prior assumptions, to produce point and density forecasts and to trace the causal effect of shocks using a number of identification schemes. The toolbox is also equipped to handle missing observations. A tutorial and examples are provided