arXiv 22 Dec 2025 · Statistics — Computation
arXiv:2512.19589 · PDF · DOI · OpenAlex · Extracted main text
We introduce srvar-toolkit, an open-source Python package for Bayesian vector autoregression with shadow-rate constraints and stochastic volatility. The toolkit implements the methodology of Grammatikopoulos (2025, Journal of Forecasting) for forecasting macroeconomic variables when interest rates hit the effective lower bound. We provide conjugate Normal-Inverse-Wishart priors with Minnesota-style shrinkage, latent shadow-rate data augmentation via Gibbs sampling, diagonal stochastic volatility using the Kim-Shephard-Chib mixture approximation, and stochastic search variable selection. Core dependencies are NumPy, SciPy, and Pandas, with optional extras for plotting and a configuration-driven command-line interface. We release the software under the MIT licence at https://github.com/shawcharles/srvar-toolkit.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Grammatikopoulos, Michael (2025) Forecasting With Machine Learning Shadow-Rate VARs | 1.000 | 5 | 4 | 100% |
| 2 | Doan, Thomas and Litterman, Robert and Sims, Christopher (1984) Forecasting and Conditional Projection Using Realistic Prior Distributions | 0.405 | 1 | 1 | 100% |
| 3 | George, Edward I. and McCulloch, Robert E (1993) Variable Selection Via Gibbs Sampling | 0.405 | 1 | 1 | 100% |
| 4 | Kim, Sangjoon and Shephard, Neil and Chib, Siddhartha (1998) Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models | 0.405 | 1 | 1 | 100% |
| 5 | Sims, Christopher A (1980) Macroeconomics and Reality | 0.405 | 1 | 1 | 100% |
| 6 | Wu, Jing Cynthia and Xia, Fan Dora (2016) Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound | 0.405 | 1 | 1 | 100% |
Showing the top 6 of 6 scored citations.