Data and codes

Python basics (by Milos Ciganovic)

Application 1: Univariate processes: (AR-MA)

Application 2: (Non) stationarity testing and cointegration analysis

Application 3:  Reduced form VAR estimation - p to 1 lag order (companion form) transformation

Application 3: VAR-based IRFs, FEVDs and HVD. Recursive id. (Chol.) - Applications to US_Data (Inflation, Unemployment, Federal Funds rate)

Application 4: SVAR (A-B and long-run exclusion restr. methods)

Application 4: Data for A-B and long-run exclusion restr. methods

Application 5: SVAR bootstrap (Appl. 4) / Sign restr. methods

Application 5: Data for Sign restr. methods

Application 6: Proxy-(IV)-VAR

Application 6: Data for Proxy-VAR

Application 7: Local Projections

Application 7: Data for Local Projections

Application 8: Machine Learning-assisted LPs (DGP generated by the code; Learner: Lasso)