TVAR
- Piergiorgio Alessandri, Haroon Mumtaz 2017, Financial conditions and density forecasts for US output and inflation, Review of Economic Dynamics (Code) Example：Two regime threshold VAR model estimated via the algorithm in Chen and Lee (2004)
Haroon Mumtaz 提供如下VAR模型的代码
- Panel Threshold VAR with hierarchical prior
- Panel VAR with hierarchical prior
- TVP VAR with stochastic volatility
- Two regime threshold VAR model estimated via the algorithm in Chen and Lee (2004) .
- Two regime Markov Switching VAR with time-varying transition probabilities. Uses an example US dataset.
- Two regime Markov Switching VAR. Uses an example US dataset.
- A VAR with sign restrictions.
- A Factor-Augmented VAR model.
- A Factor-Augmented VAR model with time-varying parameters. This is an example of the model used in this paper.
- A VAR model with stochastic volatility in mean. This is an example of the model used in this paper.
Notes and Code on Applied Bayesian Econometrics for Central Bankers. (Code)
