Econometric Code

MATLAB code for my papers

(see also links below each paper, in my Research page)

• Code for monograph "Bayesian Approaches to Shrinkage and Sparse Estimation"

• Code for monograph "Bayesian Multivariate Time Series Methods for Empirical Macroeconomics"

Univariate regressions with time-varying parameters and/or many predictors

• Code for Dynamic Model Averaging

• Code for Dynamic Model Averaging of Diffusion Indexes

• Code for Bayesian Shrinkage using Hierarchical Priors

• Code for Bayesian Semiparametric Shrinkage and Selection in Regressions with Correlated Predictors

• Code for Hierarchical Shrinkage in Time-Varying Coefficients Models

• Code for Exchange Rate Predictability using Time-Varying Parameter Regressions

• Code for Bayesian Quantile Regression

• Code for Forecasting with Message Passing Algorithms

• Code for Variational Bayes Dynamic Variable Selection

Multivariate regressions and VAR models

• Code for Large Time-Varying Parameters Vector Autoregressions (VARs)

• Code for Bayesian Compressed Vector Autoregressions

• Code for Variable Selection in VARs

• Code for A New Index of Financial Conditions (TVP-FAVAR)

• Code for Data-based Priors in TVP-VARs

• Code for Stochastic Search for Heterogeneity Restrictions in Panel VARs

• Code for Prior Selection for Panel Vector Autoregressions

• Code for Forecasting with High-Dimensional Panel Vector Autoregressions

• Code for Adaptive Priors in Large Vector Autoregressions

• Code for Exchange Rate Predictability and Dynamic Bayesian Learning

• Code for Structural Restrictions in Bayesian Vector Autoregressions

• Code for Quantile Factor-Augmented Vector Autoregression (QFAVAR)

• Code for Probabilistic Quantile Factor Analysis

Other related MATLAB code

• Sample code for estimating something similar to the UC-SV model of Stock and Watson (2007, JMCB), can be found here.

• For additional code related to my joint work with Gary Koop (or code for his books, as well as other teaching and research material); visit Gary's webpage

• Joshua C.C. Chan provides code for his papers, estimating various models with time variation and stochastic volatility; visit Josh's webpage.

Code based on my work, written by others

• RATS code estimating the BVAR in Korobilis (2013), "VAR forecasting using Bayesian variable selection".

• Eviews code which replicates some of the priors in the monograph Koop and Korobilis (2010), "Bayesian Multivariate Time Series Methods for Empirical Macroeconomics".