/PVAR_PRIOR

Code that replicates the paper Korobilis, D. (2016). “Prior Selection for Panel Vector Autoregressions”, Computational Statistics and Data Analysis, 101, 110-120.

Primary LanguageMATLABGNU General Public License v3.0GPL-3.0

PVAR_PRIOR

Code that replicates the paper Korobilis, D. (2016). “Prior Selection for Panel Vector Autoregressions”, Computational Statistics and Data Analysis, 101, 110-120.

This is MATLAB code that replicates the Monte Carlo (MONTE_CARLO.m) and empirical (FORECASTING.m) exercises.

Different Bayesian priors for shrinkage and clustering in panel VARs are compared -- see the paper for more details.