A package to estimate structural vector autoregression models with a long-run restriction
Project description
svarlr
The svarlr python package contains functions to estimate structural vector autoregressions with long-run restriction. It includes functions for estimating multivariate vector autoregressions with long-run restrictions imposed, generating impulse response filters, series bootstrapping and generating minimum distance confidence intervals.
Thanks: Dr. Xuan Liu (East Carolina University)
Dr. Jay Hong (University of Pennsylvania)
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