Example code
Notes and Code on Applied Bayesian Econometrics for Central Bankers. (Code)
VAR with SVOL in mean and correlation between level and volatility shocks. See Mumtaz (2018)
Panel Threshold VAR with hierarchical prior (Matlab code)
Panel VAR with hierarchical prior (Matlab Code)
TVP VAR with stochastic volatility (Matlab code)
Two regime threshold VAR model estimated via the algorithm in Chen and Lee (2004) . Code is in Matlab
Two regime Markov Switching VAR with time-varying transition probabilities. Uses an example US dataset. Code is in Matlab
Two regime Markov Switching VAR. Uses an example US dataset. Code is in Matlab
A VAR with sign restrictions. Code is in matlab.
A Factor-Augmented VAR model. Code is in matlab.
A Factor-Augmented VAR model with time-varying parameters. This is an example of the model used in this paper. Code is in Matlab.
A VAR model with stochastic volatility in mean. This is an example of the model used in this paper. Code is in Matlab.
Example Julia code for TVP-VAR, BVAR with sign restrictions, Stochastic volatility in mean model (Code)