Large Bayesian Matrix Autoregressions

Joshua Chan and Yaling Qi (2026)
Journal of Econometrics, 256: 105955
[ Journal Version | Working Paper | Code ]

This code estimates five BMARs:

1. BMAR: homoskedastic BMAR
2. BMAR-CSV: BMAR with the common stochastic volatility
3. BMAR-t: BMAR with t errors
4. BMAR-O: BMAR with an outlier component
5. BMAR-FSV: VAR with the factor stochastic volatility