Code that replicates the paper Korobilis, D. (2016). “Prior Selection for Panel Vector Autoregressions”, Computational Statistics and Data Analysis, 101, 110-120.
This is MATLAB code that replicates the Monte Carlo (MONTE_CARLO.m) and empirical (FORECASTING.m) exercises.
Different Bayesian priors for shrinkage and clustering in panel VARs are compared -- see the paper for more details.