Adaptive Hierarchical Priors for High-Dimensional Vector Autoregressions

This is code to estimate the three core priors (Jeffrey's, spike and slab, gamma) for high-dimensional VARs as in the paper

Korobilis, D. and Pettenuzzo, D. (2019). Adaptive Hierarchical Priors for High-Dimensional Vector Autoregressions. Journal of Econometrics

The main code is FORECASTING.m, and the code that estimates our VAR is SSBCVAR.m and the sub-functions this code calls.

Download code here: Adaptive_BVAR.zip