Bayesian Dynamic Factor Model and Panel VAR
Posted: Mon May 12, 2014 2:53 pm
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.
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.