Codes to replicate the instrument for the uncertainty shock constructed in the 2018 EJ paper title "Identifying Uncertainty Shocks Using the Price of Gold" with Max Podstawski.
Codes that Martin Bruns and I wrote to run the Dynamic Stochastic Metrpolis Hastings algorithm by Waggoner and Zha. "Striated Metropolis–Hastings sampler for high-dimensional models." Journal of Econometrics