Preprint
Aug 2026
A Design Concept of Forecasting Software for Normalized Vector Autoregressions with Fat Tails and Stochastic Volatility
A suite of R packages for macroeconomic forecasting that leverages advanced Bayesian, structural, multivariate, dynamic, hierarchical, hierarchical, non-linear, and non-Gaussian models is presented, which enables both structural and predictive analyses.
Fei Shang, Xiao-Lei Wang, Tomasz Woźniak
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