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The BEAR toolbox

Author

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  • Dieppe, Alistair
  • van Roye, Björn
  • Legrand, Romain

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

Suggested Citation

  • Dieppe, Alistair & van Roye, Björn & Legrand, Romain, 2016. "The BEAR toolbox," Working Paper Series 1934, European Central Bank.
    • Handle: RePEc:ecb:ecbwps:20161934
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    2. Mariarosaria Comunale, 2017. "A panel VAR analysis of macro-financial imbalances in the EU," Bank of Lithuania Working Paper Series 40, Bank of Lithuania.
    3. Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian Vector Autoregressions," The Warwick Economics Research Paper Series (TWERPS) 1159, University of Warwick, Department of Economics.
    4. Georgios Magkonis & Simon Rudkin, 2019. "Does Trilemma Speak Chinese?," Working Papers in Economics & Finance 2019-01, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
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    6. Ambrocio, Gene, 2017. "The real effects of overconfidence and fundamental uncertainty shocks," Research Discussion Papers 37/2017, Bank of Finland.
    7. Małgorzata Skibińska, 2018. "Transmission of monetary policy and exchange rate shocks under foreign currency lending," Post-Communist Economies, Taylor & Francis Journals, vol. 30(4), pages 506-525, July.
    8. Luca Onorante & Matija Lozej & Ansgar Rannenberg, 2017. "Countercyclical capital regulation in a small open economy DSGE model," IFC Bulletins chapters,in: Bank for International Settlements (ed.), Data needs and Statistics compilation for macroprudential analysis, volume 46 Bank for International Settlements.
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    10. Kolasa, Marcin & Rubaszek, Michał, 2018. "Does the foreign sector help forecast domestic variables in DSGE models?," International Journal of Forecasting, Elsevier, vol. 34(4), pages 809-821.
    11. Julius Stakenas, 2018. "Slicing up inflation: analysis and forecasting of Lithuanian inflation components," Bank of Lithuania Working Paper Series 56, Bank of Lithuania.
    12. Moder, Isabella, 2017. "Spillovers from the ECB's non-standard monetary policy measures on south-eastern Europe," Working Paper Series 2095, European Central Bank.
    13. Georgios Magkonis & Anastasia Theofilakou, 2019. "Transmission of sectoral debt shocks in OECD countries: Evidence from the income channel," Working Papers in Economics & Finance 2019-02, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
    14. Blattner, Tobias Sebastian & Joyce, Michael A. S., 2016. "Net debt supply shocks in the euro area and the implications for QE," Working Paper Series 1957, European Central Bank.
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    16. Michal Franta, 2018. "The likelihood of effective lower bound events," BIS Working Papers 731, Bank for International Settlements.
    17. Aldasoro, Iñaki & Unger, Robert, 2017. "External financing and economic activity in the euro area: Why are bank loans special?," Discussion Papers 04/2017, Deutsche Bundesbank.
    18. Cristina Manteu & Sara Serra, 2017. "Impact of uncertainty measures on the Portuguese economy," Working Papers w201709, Banco de Portugal, Economics and Research Department.
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    20. Michal Franta & Tomas Holub & Branislav Saxa, 2018. "Balance Sheet Implications of the Czech National Bank's Exchange Rate Commitment," Working Papers 2018/10, Czech National Bank, Research Department.
    21. Reuben Ellul, 2018. "Forecasting unemployment rates in Malta: A labour market flows approach," CBM Working Papers WP/03/2018, Central Bank of Malta.
    22. Ciccarelli, Matteo & Osbat, Chiara, 2017. "Low inflation in the euro area: Causes and consequences," Occasional Paper Series 181, European Central Bank.
    23. Bańbura, Marta & Albani, Maria & Ambrocio, Gene & Bursian, Dirk & Buss, Ginters & de Winter, Jasper & Gavura, Miroslav & Giordano, Claire & Júlio, Paulo & Le Roux, Julien & Lozej, Matija & Malthe-Thag, 2018. "Business investment in EU countries," Occasional Paper Series 215, European Central Bank.
    24. Iván Kataryniuk & Jaime Martínez-Martín, 2017. "TFP growth and commodity prices in emerging economies," Working Papers 1711, Banco de España;Working Papers Homepage.

    More about this item

    Keywords

    Bayesian VAR; econometric software; forecasting; panel Bayesian VAR; structural VAR;

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
    • E00 - Macroeconomics and Monetary Economics - - General - - - General
    • F00 - International Economics - - General - - - General

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