Discussion paper

DP15446 A hitchhiker guide to empirical macro models

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.


Canova, F and F Ferroni (2020), ‘DP15446 A hitchhiker guide to empirical macro models‘, CEPR Discussion Paper No. 15446. CEPR Press, Paris & London. https://cepr.org/publications/dp15446