Citation

Discussion Paper Details

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Title: A hitchhiker guide to empirical macro models

Author(s): Fabio Canova and Filippo Ferroni

Publication Date: November 2020

Keyword(s): Bayesian inference, Filters and Cycles, Forecasts, identification, local projections, Matlab, Missing values and VARs

Programme Area(s): Monetary Economics and Fluctuations

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, 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.

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Bibliographic Reference

Canova, F and Ferroni, F. 2020. 'A hitchhiker guide to empirical macro models'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=15446