| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15446 |
| DP15446 A hitchhiker guide to empirical macro models | |
| Fabio Canova; Filippo Ferroni | |
| 发表日期 | 2020-11-12 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Monetary Economics and Fluctuations |
| 关键词 | Vars Local projections Bayesian inference Identification forecasts Missing values Filters and cycles Matlab |
| URL | https://cepr.org/publications/dp15446 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/544441 |
| 推荐引用方式 GB/T 7714 | Fabio Canova,Filippo Ferroni. DP15446 A hitchhiker guide to empirical macro models. 2020. |
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