Data-based priors for TVP-VARs

This is demo code, which demonstrates the use of hard and soft thresholding priors for time-varying parameter vector autoregressions, as explained in

Korobilis (2014). Data-based priors for VARs with drifting coefficients. Discussion Paper 04/2014, University of Glasgow.

The code can be used essentially to replicate the results in the figures in this paper. It can also be converted easily into forecasting code. Note that I do not provide code for the "objective Minnesota" prior explained in the text.

HEALTH WARNINGS: Please follow the instructions in the README file. No further assistance is provided by the author. I will only respond to e-mails which are constructive (i.e. if they point out to possible minor/major programming errors, or tweaks to the proposed algorithms). I will not respond to requests to provide free research assistance of any sort... It is the responsibility of the user to understand what this code does and how it can be used in her own research; I only provide it for general guidance.

Download code here: TVP_VAR_SHRINK.zip