Bayesian Vector Autoregressive Models in PyMC
probability
pymc
autoregressive
hierarchical_models
Abstract
VAR and Hierarchical VARs for GDP 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
