Chapter 20: Multivariate Time Series Methods

Exercises, Programs and Files:

• 20.1: The Vector Autoregressive Model with Independent Normal-Wishart Prior
  • VAR.m
    • Supporting Files:
      • US_macrodata.csv (Data)
      • construct_IR.m
      • SURform2.m

• 20.2: Vector Autoregression with Minnesota Prior
  • bvar_minnesota.m
    • Supporting Files:
      • macrodata_Q.xls
      • US_macrodata.csv
      • US_macrodata.xls

• 20.5: Stochastic Search Variable Selection in VARs
  • VAR_SVSS.m
    • Supporting Files:
      • US_macrodata.csv
      • bernoullirnd.m
      • gamm_rnd.m
      • mlag2.m
      • prior_hyper.m
      • wish.m

• 20.6: Time-Varying Parameter VAR
  • VAR_TVP.m
    • Supporing Files:
      • US_macrodata.csv
      • construct_IR.m
      • SURform.m
      • SURform2.m

• 20.7: Vector Autoregression with Stochastic Volatility
  • VAR_SV.m
    • Supporting Files:
      • US_macrodata1.csv
      • construct_IR.m
      • SURform2.m
      • SVRW.m