VAR estimation in Julia

Michael Wang

unread,

Oct 16, 2015, 3:03:41 PM10/16/15

to julia-users

Hi all,

I am trying to estimation a vector autoregressive model, but I did not find a specific Julia package performing the job. Does anyone know that there is some package doing this?

Thanks!

Patrick Kofod Mogensen

unread,

Oct 16, 2015, 4:00:34 PM10/16/15

to julia-users

I'm not aware of any packages in metadata, but you can perhaps get inspiration from

https://github.com/andreasnoack/Civecm.jl (Cointegrated VAR models)
https://github.com/tomaskrehlik/VARmodels.jl (VAR models)

Neither are from repositories registered in METADATA.jl, so don't expect too much support. They do not seem to have been updated too recently either (5-7 months).

Michael Wang

unread,

Oct 16, 2015, 5:59:44 PM10/16/15

to julia-users

Cool, thank you! I will make good use of these.

Andreas Noack

unread,

Oct 20, 2015, 2:15:32 PM10/20/15

to julia-users

Hi Michael

Author of Civecm.jl here. The repo has code that I developed during my PhD and I haven't spend much time on it lately, but please ask questions if you'd like to use it.