Bayesian Model Comparison for Time-varying Parameter VARs with Stochastic Volatility

Joshua Chan and Eric Eisenstat (2018)
Journal of Applied Econometrics, 33(4), 509-532
[ 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