The Bayesian VAR toolbox is a new package that contains MATLAB functions and routines to estimate VARs, FAVARs, local projections and other models with classical or Bayesian methods. The toolbox allows a researcher to conduct inference under various prior assumptions on the parameters, to produce point and density forecasts, and to trace out the causal effect of shocks using a number of identification schemes. The toolbox is equipped to handle missing observations. It can also deal with panels of time series. We describe the methodology employed and implementation of the functions. We illustrate the main features with a number of practical examples.