Bayesian VARs

General
1

Hi,

I am not sure if we can use Stan for BVAR for the academic purposes, any recommendations or suggestions please.

Regards,

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2

Yes, you can use Stan but the steps that you have to go through to keep it stationary are somewhat difficult. We hope to have something built into Stan for VAR models in the future.

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3

Thank you,

Any manual or examples you can refer to ?

4

There is nothing in the manual yet. Some Stan developers were scheduled to discuss it next Friday, but I think I got bumped to another week.

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5

It’s a little old (and thus, might requires some revising on your part), but @James_Savage wrote out a VAR model a few years ago that might be a nice starting point: https://rpubs.com/jimsavage/hierarchical_var

6

Well I have a package for time series in stan, where you can do varma models

varstan

Is not in the cran yet, but might be usefull

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7

Thanks, I will check this.

8

Thank you, appreciate it !!