High-dimensional macroeconomic forecasting using message passing algorithms

This page provides the code that replicates all results in the paper

Korobilis, D. (2020). High-dimensional macroeconomic forecasting using message passing algorithms. Journal of Business and Economic Statistics

plus the results in the accompanying online appendix. This code is named below JBES.zip. I also include a code with the name GAMP.zip that replicates the Monte Carlo in the 2017 working paper of the article. This second file demonstrates the GAMP algorithm in simple univariate regressions with many predictors, and it is more friendly to less experienced users who want to give GAMP a try.

Download code here: GAMP.zip and JBES.zip