korobilis/PVAR_RESTRICTIONS

This code replicates the results in the paper Koop, G. and Korobilis, D. (2016). Model Uncertainty in Panel Vector Autoregressive Models, European Economic Review 81, pp. 115-131. The code allows to search stochastically, and infer probabilistically, the existence of the following restrictions: 1) Dynamic Interdependencies 2) Cross-Sectional Heterogeneities 3) Static Interdependencies in the context of panel VARs. One file estimates the model for Euro-Area data (see also the accompanying file for the Impulse responses), and the other implements our Monte Carlo exercise. There is also a small manual which clarifies the way we index inside the code the various restrictions in panel VARs.