This folder contains the main paper [Bernardi, Bianchi, and Bianco (2023), JBES] in its Arxiv version which includes the supplementary material, and the code to perform variational Bayes inference for large Bayesian vector autoregressiomns (and more in general multivariate predictive regressions) with continuous shrinkage priors.
A simple R code named TestCode.R is provided together with the source package VBmlr_1.0.tar.gz (old version, the uptaded version will be available soon!).
If you have any issues/comments/request feel free to mail me nicolas.bianco@upf.edu