R and Python package to model Bayesian VAR and VHAR models
This repo replicates the results in the paper 'forecasting in small open emerging economies: Evidence from thailand' It includes multiple Bayesian forecasting model, both univariate and multivariate, direct and iterate forecasts. Main highlight is to perform speical sampling method for ultra high dimensional regression with horseshoe prior (matlab)
"Bayesian Data Analysis" module - MSc Statistics and Data Science - University of Florence.
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