Model Uncertainty in Panel Vector Autoregressive Models

This code replicates the results in the paper

Koop, G. and Korobilis, D. (2016). Model Uncertainty in Panel Vector Autoregressive Models, European Economic Review 81, pp. 115-131.

The code allows to search stochastically, and infer probabilistically, the existence of the following restrictions:

1) Dynamic Interdependencies

2) Cross-Sectional Heterogeneities

3) Static Interdependencies

in the context of panel VARs. One file estimates the model for Euro-Area data (see also the accompanying file for the Impulse responses), and the other implements our Monte Carlo exercise. There is also a small manual which clarifies the way we index inside the code the various restrictions in panel VARs.

Download code here: PVAR_RESTRICTIONS_EER.zip