Functions for Bayesian inference of vector autoregressive and vector error correction models
Replication code for Addressing COVID-19 Outliers in BVARs with Stochastic Volatility“ by Carriero, Clark, Marcellino and Mertens (2021), Work in Progress
Standard Bayesian VAR with conjugate priors and Minnesota dummy-observation priors (unit-root and cointegration dummies) for analyzing shock transmission between U.S. 5-year and 3-year T-Bills and Colombian 5-year TES.
A Bayesian VAR Framework for US Macro-Financial Forecasting and Stress-Test Scenario Design. Forecasts eleven US variables and generates DFAST-style stress scenarios, with a live interactive dashboard.
BVAR evidence on how U.S. monetary conditions and China growth shocks transmit to Hong Kong output under the Linked Exchange Rate System, 1998-2026.
Replication code for my MSc thesis on geopolitical risk, energy prices and macro-financial transmission in the euro area.
Official vs. interpolated quarterly data in Timor-Leste: a Bayesian VAR and local-projection study of fiscal transmission and import leakage. Includes temporal disaggregation, structural breaks, IRFs/FEVDs, and a reproducible R/Shiny dashboard.
Applied Bayesian Econometrics for Central Bankers in R
Bayesian VAR vs. Temporal Convolutional Networks: a simulation study on forecasting accuracy and uncertainty calibration. MSc Statistics thesis, UC3M (mirror).
GDPNow-Morocco: a quarterly GDP nowcasting model for Morocco, adapting the Federal Reserve Bank of Atlanta's GDPNow methodology (Higgins, 2014) and other methods
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