Dimitris Korobilis's repositories
PVAR_PRIOR
Code that replicates the paper Korobilis, D. (2016). “Prior Selection for Panel Vector Autoregressions”, Computational Statistics and Data Analysis, 101, 110-120.
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.
korobilis.github.io
Github Pages template for academic personal websites, forked from mmistakes/minimal-mistakes