Tutorials

These tutorials walk you through Impulso’s core workflow: fitting a Bayesian VAR, producing probabilistic forecasts, and running structural analysis. They assume familiarity with regression and autoregressive models but explain VAR-specific concepts as they arise.

Tutorial	What you’ll learn
Fitting Your First Bayesian VAR	Data loading, lag selection, model fitting, posterior inspection
Probabilistic Forecasts	Multi-step forecasts, credible intervals, fan charts
Structural Shocks and Their Effects	Cholesky identification, impulse responses, FEVD, historical decomposition
Monetary Policy Analysis	Policy reaction functions, scenario analysis
Stochastic Volatility	Time-varying residual volatility via univariate SV: fit, interpret, and forecast
Oil Supply News with an External Instrument	Proxy-SVAR identification, external instruments, Känzig (2021) replication
The Conjugate VAR	Closed-form NIW estimation, data-selected shrinkage, conjugate-vs-NUTS comparison
Estimating a VAR after March 2020	Conjugate NIW VAR, COVID volatility break, conditional forecasts, Lenza & Primiceri (2022) replication

Start with the Quickstart if you’re new to Impulso. The Forecasting and Structural Analysis tutorials build on concepts introduced there.