Discover @korobilis Open Source projects

Dimitris Korobilis (@korobilis)

korobilis

Stars
34
Global Rank 448,285 (Top 16 %)
Followers 89
Following 1
Registered over 5 years ago
Most used languages

MATLAB
100.0 %
Location 🇬🇧 United Kingdom
Country Total Rank 18,880
Country Ranking

MATLAB
141

DMA_FCI

MATLAB code to replicate Koop and Korobilis (2014) A new index of financial conditions. European Economic Review

BCVAR

Code that replicates the Bayesian Compressed Vector Autoregressive (BCVAR) model in Koop, G., Korobilis, D. and Pettenuzzo, D. (2019). “Bayesian Compressed Vector Autoregressions”, Journal of Econometrics, 210, 135-154.

PVAR_PRIOR

Code that replicates the paper Korobilis, D. (2016). “Prior Selection for Panel Vector Autoregressions”, Computational Statistics and Data Analysis, 101, 110-120.

SSVS_VAR

Code for the paper Korobilis, D. (2008). “Forecasting in Vector Autoregressions with Many Predictors”, Advances in Econometrics, 23, 403-431.

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.

hierarchicalbayes

MATLAB code that demonstrates hierarchical priors for shrinkage and variable selection. Follows the monograph Korobilis, D. and Shimizu, K. (forthcoming), Bayesian Approaches to Shrinkage and Sparse Estimation. Foundations and Trends in Econometrics.