Chan provides code for his papers, estimating various models with time variation and stochastic volatility visit Josh's webpage. Sample code for estimating something similar to the UC-SV model of Stock and Watson (2007, JMCB), can be found here.įor additional code related to my joint work with Gary Koop (or code for his books, as well as other teaching and research material) visit Gary's webpage Univariate regressions with time-varying parameters and/or many predictorsĬode for Dynamic Model Averaging of Diffusion IndexesĬode for Bayesian Shrinkage using Hierarchical PriorsĬode for Bayesian Semiparametric Shrinkage and Selection in Regressions with Correlated PredictorsĬode for Hierarchical Shrinkage in Time-Varying Coefficients ModelsĬode for Exchange Rate Predictability using Time-Varying Parameter RegressionsĬode for Forecasting with Message Passing AlgorithmsĬode for Variational Bayes Dynamic Variable SelectionĬode for Large Time-Varying Parameters Vector Autoregressions (VARs)Ĭode for Bayesian Compressed Vector AutoregressionsĬode for A New Index of Financial Conditions (TVP-FAVAR)Ĭode for Stochastic Search for Heterogeneity Restrictions in Panel VARsĬode for Prior Selection for Panel Vector AutoregressionsĬode for Forecasting with High-Dimensional Panel Vector AutoregressionsĬode for Adaptive Priors in Large Vector AutoregressionsĬode for Exchange Rate Predictability and Dynamic Bayesian LearningĬode for Structural Restrictions in Bayesian Vector Autoregressions (see also links below each paper, in my Research page)Ĭode for monograph "Bayesian Approaches to Shrinkage and Sparse Estimation"Ĭode for monograph "Bayesian Multivariate Time Series Methods for Empirical Macroeconomics"
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