DP15446 A hitchhiker guide to empirical macro models
Author(s): | Fabio Canova, Filippo Ferroni |
Publication Date: | November 2020 |
Keyword(s): | Bayesian inference, Filters and Cycles, Forecasts, identification, local projections, Matlab, Missing values, VARs |
JEL(s): | C10, E32, E52 |
Programme Areas: | Monetary Economics and Fluctuations |
Link to this Page: | cepr.org/active/publications/discussion_papers/dp.php?dpno=15446 |
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.