I am looking for a couple of sample programs that I can expermient with and build on:
a) Bayesian Dynamic Factor program (e.g., International Business Cycles: World, Region, and Country-Specific Factors by Kose, Otrok, and Whiteman; Dynamic Factor Models with Time-Varying Parameters:
Measuring Changes in International Business Cycles by Del Negro and Otrok)
b) Panel VAR model program (e.g., Estimating Multicountry VARs by Canova and Ciccarelli, 2009)
Any help will be appreaciated.