A powerful & convenient package for a two-step estimation method of the Factor augmented VAR (FAVAR) model, which is mainly based on RATS 10.0 .
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Aug 26, 2024 - Jupyter Notebook
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favar
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Python package for Factor-Augmented Vector Autoregression (FAVAR) estimation, forecasting, and impulse-response analysis.
python time-series impulse-response econometrics forecasting macroeconomics monetary-policy pypi-package favar factor-augmented-var
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Jun 29, 2026 - Jupyter Notebook
Implementation of Factor-augmented Vector Autoregressive process (FAVAR(p)).
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Updated
May 5, 2020 - Julia
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