Popular GitHub Repositories for Vector Autoregression

Implementation of the FNETS methodology proposed in Barigozzi, Cho and Owens (2024) for network estimation and forecasting of high-dimensional time series

Toolkit functions and example outputs for Bayesian (Structural) Vector Autoregressive (VAR) models

Estimates latent class vector-autoregressive models via EM algorithm on time-series data for model-based clustering and classification. Includes model selection criteria for selecting the number of lags and clusters.