Fast, memory efficient tools for macroeconometrics
Fast, memory efficient estimation and inference in SVAR modelling in R via C++
The aim of this package is to provide a fast, memory efficient, tidy, consistent interface for estimating, identifying, and visualising Vector Autoregression (VAR) and Structural VAR (SVAR) models in R
Here are the project details:
tidyMacro provides a tidy, consistent workflow for estimating and analysing VAR and SVAR models in R. The package covers the full modelling pipeline — from model estimation and structural identification to impulse response functions, forecast error variance decompositions, and historical decompositions — all within a coherent friendly interface.
If you would like to contribute or build on this work, feel free to fork the project on GitHub:
https://github.com/muhsinciftci/tidyMacro
There are in dept vignettes showing the use cases and replications in the main website of the package: