Standard Bayesian VAR with conjugate priors and Minnesota dummy-observation priors (unit-root and cointegration dummies) for analyzing shock transmission between U.S. 5-year and 3-year T-Bills and Colombian 5-year TES.
reproducible-research gibbs-sampling macroeconomics bvar bayesian-var multivariate-time-series minnesota-prior fevd impulse-response-functions
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Updated
Aug 26, 2025 - Jupyter Notebook