This repository facilitates the calculation of Vector Autoregression (VAR), Structural Vector Autoregression (SVAR), and panel SVAR. The panel SVAR methodologies are based on the work of Pedroni, P. (2013), published in Econometrics, 1(2), 180-206. You can access the paper here.
Variance decomposition and bootstrapping are currently in development.
Your contributions are welcome and appreciated! To contribute:
-
Fork the repository.
-
Create a new branch with your feature or fix.
-
Commit your changes and push the branch to your forked repository.
-
Create a pull request with a description of your changes.
For any questions, contributions, or issues, please contact Prof. Peter Pedroni at ppedroni@williams.edu or Gavin Xia at gx1@williams.edu.
This code is under development. Do not attempt to crash the code intentionally as error handling is minimal. Incorrect input may lead to incorrect output.
This project is part of an ECON 371 (Time Series Econometrics) final project at Williams College.