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
The Minnesota Prior, From Scratch	Why VARs need shrinkage, the prior’s maths, prior predictive checks, tuning tightness
Probabilistic Forecasts	Multi-step forecasts, credible intervals, fan charts
Structural Shocks and Their Effects	Cholesky identification, impulse responses, FEVD, historical decomposition
Model Checks and Validation	Stationarity pretests, prior predictive checks, MCMC diagnostics in ArviZ, posterior predictive checks
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
Counterfactuals & Scenario Analysis	Historical counterfactuals, conditional forecasts, structural scenarios, plausibility statistics

Start with the Quickstart if you’re new to Impulso, then read The Minnesota Prior to understand the shrinkage the Quickstart switched on by default. The Forecasting and Structural Analysis tutorials build on concepts introduced there.