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

Joshua Chan and Eric Eisenstat (2017)
Journal of Applied Econometrics, forthcoming
[ Journal Version | Working Paper | Code ]

This code estimates ten VARs. For each VAR, it also reports the corresponding marginal likelihood or 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. TVP-R3-SV: same as TVP-SV but only the intercepts are time-varying
  6. CVAR-SV: constant coefficients VAR with SV
  7. CVAR: constant coefficients VAR without SV
  8. RS-VAR: standard regime-switching VAR
  9. RS-VAR-R1: same as RS-VAR but the VAR coefficients are restricted to be the same across regimes
  10. RS-VAR-R2: same as RS-VAR but the covariance matrices are restricted to be the same across regimes