Bayesian Vector Autoregressive Models in PyMC

Bayesian Vector Autoregressive Models

In this project I demonstrated how to fit a hierarchical bayesian autoregressive model in PyMC. The work drew on a PyMC labs blogpost showing how to fit a simple VAR model in PyMC. We applied these types of model to econometric timeseries data to analyse the relationships between GDP, investment and consumption for Ireland.

The project culminated in a publication to the official PyMC documentation that can be found online here or downloaded as notebook here

Ireland’s GDP v Peers