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Working Paper, No. 2021-15, September 2021 Crossref
A Hitchhiker’s Guide to Empirical Macro Models (REVISED October 2021)

This paper describes a package which uses MATLAB functions and routines to estimate VARs, factor models and local projections 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, FAVAR and factor models). 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.


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