Bayesian Vector Autoregressive Models in NumPyro

In this notebook, we present how to implement and fit Bayesian Vector Autoregressive (VAR) models using NumPyro . We work out three components: &#xA; &#xA; Specifying and fitting the model in NumPyro &#xA; Using the model to generate forecasts &#xA; Computing the Impulse Response Functions (IRFs) &#xA; &#xA; We compare these three components with the ones obtained using the statsmodels…