Working Paper Revision

A Hitchhiker’s Guide to Empirical Macro Models

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;

JEL Classification: C10; E32; E52;

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Bibliographic Information

Provider: Federal Reserve Bank of Chicago

Part of Series: Working Paper Series

Publication Date: 2021-10-03

Number: WP-2021-15

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