Forecasting with Bayesian Panel Vector Autoregressions Using the R Package bpvars (opens in new tab)

The R package bpvars was designed to forecast employment, unemployment, and labour market participation rates of 189 countries. However, it is generally applicable to dynamic panel data due to the flexibility of its modelling framework and robust coding. It includes a family of Bayesian hierarchical panel Vector Autoregressions (VARs) that are characterised by: (i) country-specific VAR models (ii) with their parameters' priors centred around the...