Large Bayesian VARs: A Flexible Kronecker Error Covariance Structure
This code estimates seven large Bayesian VARs with a variety of flexible covariance structures, allowing for non-Gaussian, heteroscedastic and serially dependent innovations.
The application is illustrated using a US dataset of 20 macroeconomic variables at quarterly frequency. This code also computes the marginal likelihood for each model.
The seven large Bayesian VARs are:
- BVAR: standard BVAR with iid Gaussian innovations
- BVAR-t: BVAR with t innovations
- BVAR-CSV: BVAR with a common stochastic volatility
- BVAR-MA: BVAR with MA(1) Gaussian innovations
- BVAR-t-CSV: BVAR with a common stochastic volatility and t innovations
- BVAR-t-MA: BVAR with MA(1) t innovations
- BVAR-CSV-MA: BVAR with a common stochastic volatility and MA(1) innovations