A toolbox for VAR analysis
The VAR Toolbox is a collection of Matlab codes to perform Vector Autoregression (VAR) analysis. Estimation is performed with OLS. The VAR Toolbox allows for identification of structural shocks with zero short-run restrictions; zero long-run restrictions; sign restrictions; external instruments (proxy SVAR); and a combination of external instruments and sign restrictions. Impulse Response Functions (IR), Forecast Error Variance Decomposition (VD), and Historical Decompositions (HD) are computed according to the chosen identification. Confidence intervals are obtained with bootstrapping methods.
Codes repository
The latest version of the VAR Toolbox is available on GitHub:
Vector Autoregressions: A Primer
A simple primer on VARs (slides and accompanying Matlab codes) using VAR Toolbox is available at the following links:
[Matlab Code] [Slides]
Disclaimer:
These codes have been tested with MATLAB R2020a. Despite every effort has been made to ensure that these codes are error free, some of them may still have bugs or errors. If you find any, please email me at ambrogio.cesabianchi@gmail.com.