Quantile Factor-Augmented VAR

Code to replicate:

Korobilis, D. and Schröder, M.  (forthcoming). “Monitoring Multi-Country Macroeconomic Risk: A Quantile Factor-Augmented Vector Autoregressive (QFAVAR) Approach”, Journal of Econometrics.

Click on the .zip file below. You can find inside the zip file a README file with instructions.

Download code here: QFAVAR.zip