Code
Click to download. The code may be used at the user's risk provided the underlying source is cited.
Matlab code for computing bias-adjusted impulse response confidence intervals for structural VAR models with intercept. This code encompasses the method used in Kilian, Review of Economics and Statistics 1999, as a special case and supersedes the code used in Kilian, Review of Economics and Statistics, 1998. Source: Inoue and Kilian, International Economic Review 2002.
Matlab code for computing joint credible set and modal model responses in fully identified structural VAR models identified by sign restrictions. Source: Inoue and Kilian, Journal of Econometrics 2013, 2018.
Fortran code for computing the joint credible set and the modal model responses in partially identified structural VAR models identified by sign restrictions or by a recursive structural impact multiplier matrix. Source: Inoue and Kilian, Journal of Econometrics 2013, 2018.
Matlab code for constructing the unconditional impulse response estimator for stationary recursive models with censored regressors. Source: Kilian and Vigfusson, Quantitative Economics 2011.
Matlab code for constructing the conditional impulse response estimator for stationary recursive models with censored regressors. Source: Kilian and Vigfusson, Journal of Money, Credit and Banking 2017.
Matlab code for computing the Bayes estimator and joint credible set for vectors of structural impulse responses and related statistics. Includes code for additively separable absolute and quadratic loss, Dirac delta loss and angular loss as well as two empirical illustrations. Source: Inoue and Kilian, Journal of Econometrics, forthcoming.
Generic Matlab code for computing plug-in estimator of structural impulse responses in stationary model with nonlinearly transformed regressors. Source: Goncalves, Herrera, Kilian and Pesavento, Journal of Econometrics, forthcoming.
Matlab code for replicating Figure 5. Source: Goncalves, Herrera, Kilian and Pesavento, Journal of Econometrics, forthcoming.