Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/251009 
Year of Publication: 
2021
Series/Report no.: 
Working Paper No. WP 2021-15
Publisher: 
Federal Reserve Bank of Chicago, Chicago, IL
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.
Subjects: 
VARs
Local Projections
Bayesian Inference
Identification
Forecasts
Missing Values
Filters and Cycles
MATLAB
JEL: 
E52
E32
C10
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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