Efficient Estimation of Bayesian VARMAs with Time-Varying Coefficients

Joshua Chan and Eric Eisenstat (2017)
Journal of Applied Econometrics, 32(7), 1277-1297
[ Journal Version | Working Paper | Code ]

This code estimates various vector autoregressive moving average models with time-varying parameters and stochastic volatility. In a recursive forecasting exercise that invovles US data, the code produces density forecasts for inflation and GDP growth.