Everything on (B)VARs and panel VARs

We collect here all the materials available (codes, papers...). Free to add your codes/comments below :)

1) Bayesian VAR toolbox for Inference, Prediction and Causality by F. Ferroni and F. Canova [Matlab]

CODE --> https://github.com/naffe15/BVAR_

Guide --> https://github.com/naffe15/BVAR_/blob/master/Documentation_.pdf

2) BEAR Toolbox by A. Dieppe, B. van Roye and R. Legrand [Matlab + interface]--> https://www.ecb.europa.eu/pub/research/working-papers/html/bear-toolbox.en.html

@Björn van Roye "We are about to publish BEAR version 5! The new version contains new features such as Bayesian Proxy VARs, Bayesian FAVARs as well as Trendy VARs. There are also a lot of other features and a new interface for non-technical users! Watch out for release on the ECB website!"

3) Panel VAR (GMM) by Albrigo and Love, 2015 [Stata] --> https://sites.google.com/a/hawaii.edu/inessalove/home/pvar

4) BVARs paper by Silvia Miranda-Agrippino and Giovanni Ricco --> https://static1.squarespace.com/static/5673346d69a91a5538ecb206/t/5b8bfacd70a6adae1d2f790b/1535900379881/BVARs_MAIN.pdf