Codes



Matlab

(S)VAR toolbox (work in progress)

Allows for lag selection and estimation of a VAR using OLS equation-by-equation. An SVAR can be identified using short-run, long-run or sign restrictions. Confidence intervals are estimated using bootstrapping [last update: April 2015]. Kolb.VAR.toolbox.zip


Notes and codes on Kalman filter

Description of algorithm, derivations, two examples -- estimating the likelihood of a small New Keynesian DSGE model and estimating time-varying Taylor rule coefficients for US data [last update: Sept. 2015]: kalman.zip


Codes on Bayesian VARs using the Gibbs sampler

Based on the outline in Andrew Blake and Haroon Mumtaz (BoE Technical Handbook 4, 2012). Comes with a note showing equivalence to their codes. [last update: June 2016]: BVARs_Gibbs.zip


Notes and codes on a time-varying coefficient VAR

With stochastic volatility and contemporaneous relations as in Primiceri (2005), corrected as in Del Negro and Primiceri (2015). The procedure is explained in detail and my codes replicate their results. TVPVAR.zip


Code for HP and bandpass (CF) filter

hpfilter_bk; bpfilter_bk


Code for conditional forecasts in a VAR

Conditional on a given course of up to two variables. condfc2.zip

Dynare

Minimal steady state file example

steadystate.zip

"A Truly Baseline DSGE Model"

Code implementing a stripped-down version of "A Baseline DSGE Model" by Jesús Fernández-Villaverde and Juan Rubio-Ramírez, allowing to switch on single features of their model (like sticky wages, capital utilisation, adjustment costs etc.) back on one by one. Comes with some notes. Truly_Baseline_DSGE.zip

Dynare code for Meeks, Nelson and Alessandri (BoE WP, 2014)

With a Matlab file re-creating some of the figures in the paper. MNA14.zip

Dynare code for Justiniano and Preston (JAE, 2010)

In log-linear form (as in their paper) and in levels, plus a note on derivations of the latter. JP10.zip

Dynare code for Ellison and Tischbirek (JEDC, 2014)

Plus a short note and a Matlab file to get the steady states. ET14.zip

Dynare code for Gertler and Karadi (JME, 2011)

The file calculates the steady states and some calibrated parameters analytically and can thus be used for estimation. GK11.mod

(This file is a slightly reduced version of the model -- no capital utilisation and net investment, fewer equations: GK11reduced.mod)

R

Simple code to download data for a US Taylor rule from datamarket.com and save it to .ssv: get_US_TR_data.r

Larger code to download data from datamarket.com and ECB, detrend, plot and save it: getdata.r

Code to create harmonised ECB APP dataset. Comes with csv files and a note. ECB_APPs.zip

Libre Calc/MS Excel

Create quarterly date labels; average monthly to quarterly series

Libre Calc; MS Excel