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https://github.com/kvasilopoulos/awesome-var

A curated list of Vector Autoregression resources
https://github.com/kvasilopoulos/awesome-var

List: awesome-var

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A curated list of Vector Autoregression resources

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README 

        
# Awesome VAR



![Awesome](https://cdn.rawgit.com/sindresorhus/awesome/d7305f38d29fed78fa85652e3a63e154dd8e8829/media/badge.svg)



A curated list of Vector Autoregression resources.



Table of Contents:



-   [MATLAB](#matlab)



    -   [Toolboxes](#toolboxes)

    -   [Collection of Codes](#collection-of-codes)



-   [R](#r)



    -   [CRAN](#cran)

    -   [Github](#github)



-   [Other Software](#other-software)



-   [Uncategorized](#uncategorized)



-   [Other](#other)



# MATLAB



### Toolboxes



-   [Mathworks Manual](https://uk.mathworks.com/help/econ/vector-autoregression-models.html): Vector Autoregression Models

-   [VAR Toolbox](https://github.com/ambropo/VAR-Toolbox): Collection of Matlab routines to perform VAR analysis (Ambrogio Cesa-Bianchi)

-   [BVAR\_](https://github.com/naffe15/BVAR_.git): Empirical macro toolbox (F. Ferroni and F. Canova)

-   [IRIS Toolbox](https://iris.igpmn.org/): Macroeconomic Modeling Toolbox

-   [BEARToolbox](https://www.ecb.europa.eu/pub/research/working-papers/html/bear-toolbox.en.html): The Bayesian Estimation, Analysis and Regression toolbox (BEAR)

-   [GVAR Toolbox](https://sites.google.com/site/gvarmodelling/gvar-toolbox): Global VAR Modelling



### Collection of Codes



-   [Dimitris Korobilis](https://sites.google.com/site/dimitriskorobilis/matlab) 

-   [James Hamilton](https://econweb.ucsd.edu/~jhamilto/software.htm)

-   [Harron Mumtaz](https://sites.google.com/site/hmumtaz77/code?authuser=0)

-   [Gianni Amisano](https://sites.google.com/site/gianniamisanowebsite/code) 

-   [Jouchi Nakajima](https://sites.google.com/site/jnakajimaweb/tvpvar)  

-   [James Hamilton](http://econweb.ucsd.edu/~jhamilto/software.htm#BH)  

-   [Tao Zha](http://www.tzha.net/code)

-   [Gary Koop](http://personal.strath.ac.uk/gary.koop/bayes_matlab_code_by_koop_and_korobilis.html) 

-   [Joshua Chan](https://joshuachan.org/code.html): Bayesian Econometric Methods

-   [Carlo Favero](http://didattica.unibocconi.eu/myigier/doc.php?idDoc=6312&IdUte=48917&idr=1754&Tipo=m&lingua=eng): Econometric Methods for Finance and Macroeconomics

-   [Jouchi Nakajima](https://sites.google.com/site/jnakajimaweb/program): TVP & SV

-   [Silvia Miranda-Agrippino](http://silviamirandaagrippino.com/code-data): BVAR, LP, & BLP \| PROXY SVAR / SVAR-IV \| FACTOR MODELS

-   [ZeroSignVAR](https://www.liechtenstein-institut.li/personen/dr-martin-geiger): A zero and sign restriction algorithm implemented in MATLAB, (M. Geiger and F. Sindermann) [Vignette](https://eeecon.uibk.ac.at/~breitenlechner/data/Vignette.pdf), [Package](https://eeecon.uibk.ac.at/~breitenlechner/data/ZeroSignVAR.zip).



# R



### CRAN



-   [vars](https://cran.r-project.org/web/packages/vars/index.html): VAR Modelling

-   [VARsignR](https://cran.r-project.org/web/packages/VARsignR/index.html): Sign Restrictions, Bayesian, Vector Autoregression Models

-   [svars](https://cran.r-project.org/web/packages/svars/index.html): Data-Driven Identification of SVAR Models

-   [bvarsv](https://cran.r-project.org/web/packages/bvarsv/index.html): Bayesian Analysis of a Vector Autoregressive Model with Stochastic Volatility and Time-Varying Parameters

-   [bsvars](https://github.com/donotdespair/bsvars): Bayesian Estimation of Structural Vector Autoregressive Models

-   [bvartools](https://github.com/franzmohr/bvartools): Functions for Bayesian inference of vector autoregressive models

-   [BVAR](https://github.com/nk027/bvar): Hierarchical Bayesian Vector Autoregression

-   [mfbvar](https://github.com/ankargren/mfbvar): Mixed-Frequency Bayesian VARs

-   [ragt2ridges](https://github.com/wvanwie/ragt2ridges): Ridge Estimation of Vector Auto-Regressive (VAR) Processes

-   [BHSBVAR](https://cran.r-project.org/web/packages/BHSBVAR/index.html): Structural Bayesian Vector Autoregression Models

-   [panelvar](https://cran.r-project.org/web/packages/panelvar/index.html): Panel Vector Autoregression

-   [gmvarkit](https://cran.r-project.org/web/packages/gmvarkit/index.html): Estimate Gaussian Mixture Vector Autoregressive Model

-   [tsDyn](http://github.com/MatthieuStigler/tsDyn/wiki): Nonlinear Time Series Models with Regime Switching

-   [GVARX](https://cran.r-project.org/web/packages/GVARX/index.html): Perform Global Vector Autoregression Estimation and Inference

-   [lpirfs](https://github.com/adaemmerp/lpirfs/): Local Projections Impulse Response Functions

-   [BGVAR](https://cran.r-project.org/web/packages/BGVAR/index.html): Bayesian Global Vector Autoregressions

-   [hdiVAR](https://cran.r-project.org/web/packages/hdiVAR/index.html): Statistical Inference for Noisy Vector Autoregression

-   [BVARverse](https://github.com/nk027/BVARverse): Tidy Bayesian Vector Autoregression

-   [VARshrink](https://github.com/namgillee/VARshrink/): Shrinkage Estimation Methods for Vector Autoregressive Models

-   [onlineVAR](https://cran.r-project.org/web/packages/onlineVAR/index.html): Online Fitting of Time-Adaptive Lasso Vector Auto Regression

-   [VARtests](https://cran.r-project.org/web/packages/VARtests/index.html): Tests for Error Autocorrelation, ARCH Errors, and Cointegration in Vector Autoregressive Models

-   [StVAR](https://cran.r-project.org/web/packages/StVAR/index.html): Student's t Vector Autoregression (StVAR)

-   [MTS](https://cran.r-project.org/web/packages/MTS/index.html): All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

-   [multivar](https://cran.rstudio.com/web/packages/multivar/index.html): Penalized Estimation of Multiple-Subject Vector Autoregressive (multi-VAR) Models

-   [mlVAR](https://cran.r-project.org/web/packages/mlVAR/index.html): Multi-Level Vector Autoregression

-   [FCVAR](https://cran.r-project.org/web/packages/FCVAR/index.html): Estimation and Inference for the Fractionally Cointegrated VAR

-   [bigtime](https://cran.r-project.org/web/packages/bigtime/index.html): Sparse Estimation of Large Time Series Models 

-   [starvars](https://cran.r-project.org/web/packages/starvars/index.html): Vector Logistic Smooth Transition Models Estimation and Prediction

-   [FAVAR](https://cran.r-project.org/web/packages/FAVAR/index.html): Bayesian Analysis of a FAVAR Model

-   [lpirfs](https://cran.r-project.org/web/packages/lpirfs/index.html): Local Projections Impulse Response Functions

-   [LSVAR](https://cran.r-project.org/web/packages/LSVAR/index.html): Estimation of Low Rank Plus Sparse Structured Vector Auto-Regressive (VAR) Model

-   [BigVAR](https://cran.r-project.org/web/packages/BigVAR/index.html): Dimension Reduction Methods for Multivariate Time Series



### Github



-   [lbvar](https://github.com/gabrielrvsc/lbvar): Estimate Large Bayesian VARs

-   [bvars](https://github.com/joergrieger/bvars): Bayesian Vector Autoregression

-   [bvarrKK](https://github.com/bdemeshev/bvarrKK): Translation Of Koop And Korobilis BVAR Matlab Code Into RbvarrKK

-   [bvarr](https://github.com/bdemeshev/bvarr): R package for bayesian VARs

-   [BMR](https://github.com/kthohr/BMR): Bayesian Macroeconometrics in R

-   [bayesVAR_TVP](https://github.com/GediminasB/bayesVAR_TVP): R/C++ implementation of Bayes VAR models

-   [Large-TVP-VAR](https://github.com/Reckziegel/Large-TVP-VAR): Large Time-Varying Parameter VAR

-   [rbvar](https://github.com/jetroant/rbsvar): Robust Bayesian VAR

-   [varexternal](https://github.com/martinbaumgaertner/varexternal/): Vector Autoregressive Model with an External Instrument in R



# Other Software



### Python



-   [statsmodel](https://www.statsmodels.org/dev/vector_ar.html): Vector Autoregressions

-   [VARSMA](https://github.com/dnguyend/VARsMA): Vector Autoregressive with scalar Moving Average Model

-   [Kats](https://facebookresearch.github.io/Kats/api/kats.models.var.html): One stop shop for time series analysis in Python



### Julia



-   [VectorAutoregressions.jl](https://github.com/lucabrugnolini/VectorAutoregressions.jl): Vector autoregressive models for Julia



### Stata:



-   [Panel VAR estimation](https://sites.google.com/a/hawaii.edu/inessalove/home/pvar)(Inessa Love).



### C++



-   [tsf_var](https://github.com/fylux/tsf_var): Analyze and forecast time series using VAR models.



### Eviews



-   [Manual](http://www.eviews.com/help/helpintro.html#page/content%2FVAR-Vector_Autoregression_and_Error_Correction_Model.html%23): Vector Autoregression And Error Correction Models

-   [StructVAR](http://www.eviews.com/StructVAR/structvar.html)Quantitative Macroeconomic Modelling with Structural Vector Autogregressions



# Uncategorized



-   [Kilian and Lutkepohl](http://www-personal.umich.edu/~lkilian/book.html): Code for the book 'Structural Vector Autoregressive Analysis'

-   [Christiane Baumeister](https://sites.google.com/site/cjsbaumeister/)

-   [James D. Hamilton](https://econweb.ucsd.edu/~jhamilton/)

-   [Eric Sims](http://sims.princeton.edu/yftp/VARtools/R/)

-   [David Gabauer](https://sites.google.com/view/davidgabauer/use-rpython?authuser=0)

-   [Toru Kitagawa](http://www.homepages.ucl.ac.uk/~uctptk0/Research/research.htm): BVAR, Narrative & Sign Restrictions



# Other



-