Dr. Juan Camilo Orduz · Oct 3, 2025
Bayesian Vector Autoregressive Models in NumPyro
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In this notebook, we present how to implement and fit Bayesian Vector Autoregressive (VAR) models using NumPyro . We work out three components: 
 
 Specifying and fitting the model in NumPyro 
 Using the model to generate forecasts 
 Computing the Impulse Response Functions (IRFs) 
 
 We compare these three components with the ones obtained using the statsmodels…
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