This page contains the Matlab codes needed to estimate Bayesian Smooth Transition VAR models as developed in
Bruns and Piffer
"Tractable Bayesian estimation of smooth transition vector autoregressive models
the Econometrics Journal
2024
The replication package circulated previously did replicate the figures form the paper, but was not a user friendly toolbox to estimate Smooth Transition VARs. The folder below improves on the earlier cdes by using structures to organize items in the code and making the functions more readable. It also fixes one computation of the marginal posterior distribution. The earlier derivations skipped one item, which has now been added to the analysis (link with technical details coming soon). The results are unaffected by this modifiation, but people using this material should use the updated and fixed codes
Link to the folder here.