Econometric Code

MATLAB code for my papers

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

Multivariate regressions and VAR models

Other related MATLAB code
    Sample code for a 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
  • Pinho J. Ribeiro provides code for exchange rate forecasting using time-varying parameter models. visit Pinho's webpage.
  • Haroon Mumtaz provides useful demo code for Bayesian vector autoregressions; visit Haroon's webpage.
  • Joshua C.C. Chan provides code for his papers, estimating various models with time variation and stochastic volatility; visit Josh's webpage.
  • Francesco Ravazzolo, along with R. Casarin, S. Grassi, and H.K. van Dijk, maintains a MATLAB toolbox for parallel SMC implementation of forecast combinations using whole distributions (rather than point forecasts); visit the De-Co 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".