Discover jm4474/SVARIV Open Source project

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MATLAB
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jm4474

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This repository contains a Matlab suite to construct weak-instrument robust confidence intervals for impulse response coefficients in Structural Vector Autoregressions identified with an external instrument. See "Inference in Structural Vector Autoregressions identified by an external instrument" by J.L Montiel Olea, J. H. Stock, and M. W. Watson (2018) .

Lag-augmented_LocalProjections

Inference on impulse responses using local projection or VAR methods, with or without lag augmentation.

MATLAB

Courses-IntroEconometrics-Ph.D

This course provides a graduate level introduction to probability and statistics. The course was designed for economists starting their doctoral education. Edits, comments, and suggestions are welcome.

FOMCTextAnalysis

HTML

Courses-TimeSeries-Undergraduate

This course will provide a basic, yet rigorous, introduction to Time Series Econometrics. This course is intended for upper-level undergraduates and beginning M.A./M.S. students.

Jupyter Notebook

Confidence_Bands

This repository contains a Matlab suite to implement the sup-t band and other popular simultaneous confidence bands in the environment described in the paper "Simultaneous Confidence Bands: Theory, Implementation, and an Application to SVARs", by Jose Luis Montiel Olea and Mikkel Plagborg-Møller; Journal of Applied Econometrics, 2018.