A Hitchhiker's Guide to Empirical Macro Models

153 Pages Posted: 10 Sep 2021 Last revised: 15 Nov 2021

See all articles by Filippo Ferroni

Filippo Ferroni

Federal Reserve Bank of Chicago

Fabio Canova

BI Norwegian Business School

Date Written: September, 2021

Abstract

This paper describes a package which uses MATLAB functions and routines to estimate VARs, 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, to measure spillovers and to trace out the causal effect of shocks using a number of identification schemes. The toolbox is equipped to handle missing observations, mixed frequencies and time series with large cross-section information (e.g. panels of VAR and FAVAR). It also contains a number of routines to extract cyclical information and to date business cycles. We describe the methodology employed and implementation of the functions with a number of practical examples.

Keywords: VARs, Local Projections, Bayesian Inference, Identification, Forecasts, Missing Values, Filters and Cycles, MATLAB

JEL Classification: C10, E32, E52

Suggested Citation

Ferroni, Filippo and Canova, Fabio, A Hitchhiker's Guide to Empirical Macro Models (September, 2021). FRB of Chicago Working Paper No. WP-2021-15, Available at SSRN: https://ssrn.com/abstract=3920782 or http://dx.doi.org/10.21033/wp-2021-15

Filippo Ferroni

Federal Reserve Bank of Chicago ( email )

230 South LaSalle Street
Chicago, IL 60604
United States

Fabio Canova (Contact Author)

BI Norwegian Business School ( email )

Nydalsveien 37
Oslo, 0442
Norway

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