Large Panel VARs

This code demonstrates the methods in the working version of the paper

Koop and Korobilis (2015). Forecasting with high-dimensional panel VARs.

The main files for estimating the TVP-PVAR are TVP_PVAR_DPS_DMA.m (pooling prior only on autoregressive coefficients) and TVP_PVAR_DPS_DMA_extended.m (pooling prior on both the autoregressive coefficients + the covariance matrix).

Download code here: LARGE_PVAR.zip