A hitchhiker guide to empirical macro models

Fabio Canova and Filippo Ferroni

No 15446, CEPR Discussion Papers from Centre for Economic Policy Research

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, 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)
Date: 2020-11
New Economics Papers: this item is included in nep-mac
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Citations: View citations in EconPapers (18)

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Related works:
Working Paper: A Hitchhiker’s Guide to Empirical Macro Models (2021)
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