Bayesian Shrinkage and Variable Selection page

This website contains Matlab code for carrying out Bayesian inference in the models discussed in Korobilis and Shimizu (forthcoming), Bayesian Approaches to Shrinkage and Sparse Estimation. Foundations and Trends in Econometrics. A working paper version of that monograph is available here. Please cite this paper when using or referring to the MATLAB code.

A Technical Appendix which provides complete technical details (posterior conditionals used in MCMC algorithms, data, etc) is available here.

A Manual which provides some details on the accompanying code can be foudn here.

The MATLAB Code that allows to replicate some of the models described in the monograph can be found here.

Health warnings:

The programs are reasonably easy to use and follow the empirical examples in our monograph. There is, however, a need for caution. A knowledge of Bayesian econometrics is assumed, including recognition of the potential importance of prior distributions, and MCMC methods are inherently less robust than analytic econometric methods. There is no built-in protection against misuse.

These programs can be freely downloaded for academic purposes. There meant to be used to do simple demonstrations of the theoretical concepts and come with no other guarantees. Although every effort has been made to ensure that these programs are error free, we cannot guarantee this. If you find any errors, please let us know (Dimitris.Korobilis@glasgow.ac.uk or Kenichi.Shimizu@glasgow.ac.uk).

We do not offer any support or user help facilities for these programs. These programs were written in MATLAB R2021a and there may be minor incompatibilities with earlier versions.