Bayesian model comparison for time-varying parameter VARs with stochastic volatility

Joshua Chan and Eric Eisenstat (2015)
CAMA Working Paper 32/2015
[ Working Paper | Code ]

This code estimates six VARs. For each VAR, it also reports the corresponding marginal likelihood or the DIC. The VARs are:

  1. TVP-SV: standard time-varying parameter VAR with SV
  2. TVP: same as TVP-SV but without SV
  3. TVP-R1-SV: same as TVP-SV but the VAR coefficients are restricted to be time-invariant
  4. TVP-R2-SV: same as TVP-SV but the correlations are restricted to be time-invariant
  5. CVAR-SV:constant coefficients VAR with SV
  6. CVAR:constant coefficients VAR without SV