Vector Autoregression (VAR) Toolkit
A comprehensive MATLAB toolkit for Vector Autoregression (VAR) analysis, covering a wide range of identification schemes and estimation methods.
The toolkit includes functions for:
Reduced-form VAR and Granger causality testing
Structural VAR (SVAR) identification via short-run and long-run restrictions (recursive and non-recursive)
Sign restrictions and maximum share identification
Generalised impulse response functions (GIRFs)
Bayesian estimation of SVARs
GMM-based identification
External instruments (IV) with block and wild bootstrap inference
Block exogeneity tests
Historical decomposition
Each function comes with a worked example file.
The code is freely available on my GitHub: here