Mikkel Plagborg-Møller's starred repositories
sequence-jacobian
A unified framework to solve and analyze heterogeneous-agent macro models.
nber-workshop-2022
Code for the Spring 2022 heterogeneous-agent macro workshop
MatlabStan
Matlab interface to Stan, a package for Bayesian inference
het_agents_bayes
Estimation of heterogeneous agent models using both macro and micro data
lp_var_simul
Simulation study of Local Projections, VARs, and related estimators
Lag-augmented_LocalProjections
Inference on impulse responses using local projection or VAR methods, with or without lag augmentation.
Confidence_Bands
This repository contains a Matlab suite to implement the sup-t band and other popular simultaneous confidence bands in the environment described in the paper "Simultaneous Confidence Bands: Theory, Implementation, and an Application to SVARs", by Jose Luis Montiel Olea and Mikkel Plagborg-Møller; Journal of Applied Econometrics, 2018.
suptCriticalValue
R function to compute simultaneous sup-t confidence bands following Montiel Olea and Plagborg-Møller (2019)
stderr_calibration_matlab
Standard errors for moment matching estimators given limited knowledge about the moment variance-covariance matrix
stderr_calibration_python
Standard errors for moment matching estimators given limited knowledge about the moment variance-covariance matrix
ebci_matlab
Matlab code for robust empirical Bayes confidence intervals
higher_moments
Application and simulation study of identification from non-Gaussianity.