A Hitchhiker’s Guide to Empirical Macro Models

Fabio Canova and Filippo Ferroni

No WP-2021-15, Working Paper Series from Federal Reserve Bank of Chicago

Abstract: 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.

Keywords: VARs; Local Projections; Bayesian Inference; Identification; Forecasts; Missing Values; Filters and Cycles; MATLAB (search for similar items in EconPapers)
JEL-codes: C10 E32 E52 (search for similar items in EconPapers)
Pages: 136
Date: 2021-09-04, Revised 2021-10-03
New Economics Papers: this item is included in nep-cwa, nep-ets, nep-isf and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
https://www.chicagofed.org/~/media/publications/wo ... 21/wp2021-15-pdf.pdf full text (application/pdf)

Related works:
Working Paper: A hitchhiker guide to empirical macro models (2020)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fedhwp:93029

Ordering information: This working paper can be ordered from

DOI: 10.21033/wp-2021-15

Access Statistics for this paper

More papers in Working Paper Series from Federal Reserve Bank of Chicago Contact information at EDIRC.
Bibliographic data for series maintained by Lauren Wiese ().