MATLAB Code

• Local Projection Methods

Linear Local Projection (LP)  Download

State-Dependent Local Projections Download

Local Projection Instrumental Variables (LP-IV) Download

• Factor Models

Dynamic Factor Model Download

Dynamic Factor Model with Block Structure Download

• Stochastic Volatility models

AR(1) Log-SV Download

TVP Local Projection SV Download

Bayesian Factor SV Download

TVP-FAVAR-SV Download

Bayesian Stochastic Volatility software:

• stochvol (R)

• factorstochvol (R)