Haroon Mumtaz
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Example code
See the following for further examples:
http://cremfi.econ.qmul.ac.uk/efp/info.php
Notes and Code on
Applied Bayesian Econometrics
TVP VAR with stochastic volatility (Matlab code)
TVP VAR with stochastic volatility (Julia Code)
Two regime threshold VAR model
estimated via the algorithm in
Chen and Lee (2004)
. The data is from
this paper
. Code is in Matlab
Two regime Markov Switching VAR with time-varying transition probabilities
. Uses an example US dataset. Code is in Matlab
Two regime Markov Switching VAR
. Uses an example US dataset. Code is in Matlab
A VAR with sign restrictions.
Code is in matlab.
A VAR with sign restrictions
. Julia Code
A Factor-Augmented VAR model
. Code is in matlab.
A Factor-Augmented VAR model with time-varying parameters
. This is an example of the model used in this
paper
. Code is in Matlab.
A VAR model with stochastic volatility in mean
. This is an example of the model used in this
paper
. Uses UK data. Code is in Matlab.
Stochastic Volatility in Mean Model using
Particle Gibbs with ancestor sampling
. (
Julia Code
)