Bayesian Macroeconometrics

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BMLib is a templated C++ library for estimating Bayesian Vector Autoregressive (BVAR) and Dynamic Stochastic General Equilibrium (DSGE) models.

  • Several popular prior specifications:
    • normal-inverse-Wishart prior,
    • Minnesota prior, and
    • Mattias Villani's steady-state prior.
  • BMLib can also estimate BVARs with time-varying parameters, as well as classical (non-Bayesian) VARs.
  • For DSGE models, the library can
    • solve models using Harald Uhlig's method of undetermined coefficients and Chris Sims' canonical decomposition;
    • estimate models using MCMC and a choice of filtering methods, the Kalman filter or Chandrasekhar recursions; and
    • estimate a hybrid DSGE-VAR model.

Author: Keith O'Hara

License: BMLib is licensed under the GNU General Public License (GPL) version 2, or (at your option) any later version.

Download and Installation

BMLib can be installed in the standard way:

# clone bmlib
git clone -b master --single-branch ./bmlib
# build and install
cd ./bmlib
make install

The last line will install BMLib into /usr/local

Configure options: