The BEAR Toolbox

292 Pages Posted: 24 Aug 2016

See all articles by Alistair Dieppe

Alistair Dieppe

European Central Bank (ECB)

Romain Legrand

ESSEC Business School

Björn van Roye

European Central Bank (ECB)

Abstract

The Bayesian Estimation, Analysis and Regression toolbox (BEAR) is a comprehensive (Bayesian) (Panel) VAR toolbox for forecasting and policy analysis. BEAR is a MATLAB based toolbox which is easy for non-technical users to understand, augment and adapt. In particular, BEAR includes a user-friendly graphical interface which allows the tool to be used by country desk economists. Furthermore, BEAR is well documented, both within the code as well as including a detailed theoretical and user's guide. BEAR includes state-of-the art applications such as sign and magnitude restrictions, conditional forecasts, Bayesian forecast evaluation measures, Bayesian Panel VAR using different prior distributions (for example hierarchical priors), etc. BEAR is specifically developed for transparently supplying a tool for state-of-the-art research and is planned to be further developed to always be at the frontier of economic research.

Keywords: Bayesian VAR, panel Bayesian VAR, econometric software, forecasting, structural

JEL Classification: C11, C30, C87, E00, F00

Suggested Citation

Dieppe, Alistair and Legrand, Romain and van Roye, Björn, The BEAR Toolbox. ECB Working Paper No. 1934, Available at SSRN: https://ssrn.com/abstract=2811020 or http://dx.doi.org/10.2139/ssrn.2811020

Alistair Dieppe (Contact Author)

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Romain Legrand

ESSEC Business School ( email )

3 Avenue Bernard Hirsch
CS 50105 CERGY
CERGY, CERGY PONTOISE CEDEX 95021
France

Björn Van Roye

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

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