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A package to estimate structural vector autoregression models with a long-run restriction

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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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