This is a replication file for Bernanke, Boivin & Eliasz (2005), "Measuring the Effects of Monetary Policy: A Factor-augmented Vector Autoregressive (FAVAR) Approach," Quarterly Journal of Economics, vol. 120(1), pages 387-422, which introduced the FAVAR model. This was updated in December 2015 to include a (weak) prior on the VAR estimates, which seems to be necessary to get a stable Gibbs sampler.
Zip file with program and data
Detailed description