Empirical macro toolbox

by F. Ferroni and F. Canova

This repository contains MATLAB functions, routines and documentation 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.

The matlab 2020 release has a built in function called 'bvar' which causes a crash with the version v4.1 of the toolbox. In the version v4.2, we create the function 'bvar_.m' and substitute 'bvar.m' with 'bvar_.m' in all the examples of the tutorial. Codes are backwarad compatible so that for matlab releases earlier than 2020 'bvar.m' still works.

Link to the youtube tutorial: https://www.youtube.com/channel/UCDepPX4wbdkIqfg438J0h_g