Filippo Piermaria Ferroni

Empirical Macro Toolbox

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This repository contains MATLAB functions, routines and documentation to estimate VARs, factor models and local projections with classical or Bayesian methods. The toolbox allows a researcher to conduct inference under various prior assumptions on the parameters, to produce point and density forecasts, to compute spillovers/connectedness across units of a network and to trace out the causal effect of shocks using a number of identification schemes. The toolbox is equipped to handle missing observations, mixed frequencies and time series with large cross-section information (e.g. panels of VAR, factor models and FAVAR). It also contains a number of routines to extract cyclical information and to date business cycles. We describe the methodology employed and implementation of the functions with a number of practical examples.