A hitchhiker's guide to empirical macro models

Arbeitspapier

This paper describes a package which uses MATLAB functions and routines to estimate VARs, local projections and other models with classical or Bayesian methods. The toolbox allows a researcher to conduct inference under various prior assumptions on the parameters, to produce point and density forecasts, to measure spillovers and to trace out the causal effect of shocks using a number of identification schemes. The toolbox is equipped to handle missing observations, mixed frequencies and time series with large cross-section information (e.g. panels of VAR and FAVAR). It also contains a number of routines to extract cyclical information and to date business cycles. We describe the methodology employed and implementation of the functions with a number of practical examples.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper ; No. WP 2021-15

Classification and Topics

• Classification: Wirtschaft ; Monetary Policy ; Business Fluctuations; Cycles ; Econometric and Statistical Methods and Methodology: General
• Subject: VARs ; Local Projections ; Bayesian Inference ; Identification ; Forecasts ; Missing Values ; Filters and Cycles ; MATLAB

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Ferroni, Filippo ; Canova, Fabio
• Event: Veröffentlichung
• (who): Federal Reserve Bank of Chicago
• (where): Chicago, IL
• (when): 2021

Further information

• DOI: doi:10.21033/wp-2021-15
• Handle: http://hdl.handle.net/10419/251009
• Last update: 10.03.2025, 11:41 AM CET