A Hitchhiker's Guide to Empirical Macro Models
153 Pages Posted: 10 Sep 2021 Last revised: 15 Nov 2021
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: Suggested Citation