During the past years I realised that econometric analyis can be understood as a craft. You learn your basics at school from more or less motivated/talented professors and then you are sent out into wild, where you are confronted with real life challenges that differ from the stylised exmples you have become used to during your studies. This comes with a bunch new insights that I want to document on this page.
Bayesian methods have significantly gained in popularity during the last decades as computers have become more powerful and new software has been developed. Their flexibility and other advantageous features have made these methods also more popular in econometrics. This post gives a brief introduction to Bayesian VAR (BVAR) models and provides the code to set up and estimate a basic model with the bvartools package.