├── .gitignore ├── README.md ├── data ├── flow_data.mat └── tvp_specs.mat ├── example_script.m └── utils ├── carter_kohn.m ├── corrvc.m ├── draw_alpha.m ├── draw_beta.m ├── draw_sigma.m ├── heteroskedastic_time_varying_VAR.m ├── impulse.m ├── lag_matrix.m ├── mvnrnd.m ├── quantile.m ├── ts_prior.m └── wish.m /.gitignore: -------------------------------------------------------------------------------- 1 | *.asv 2 | -------------------------------------------------------------------------------- /README.md: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/haakonkavli/tvp_var_utils/HEAD/README.md -------------------------------------------------------------------------------- /data/flow_data.mat: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/haakonkavli/tvp_var_utils/HEAD/data/flow_data.mat -------------------------------------------------------------------------------- /data/tvp_specs.mat: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/haakonkavli/tvp_var_utils/HEAD/data/tvp_specs.mat -------------------------------------------------------------------------------- /example_script.m: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/haakonkavli/tvp_var_utils/HEAD/example_script.m -------------------------------------------------------------------------------- /utils/carter_kohn.m: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/haakonkavli/tvp_var_utils/HEAD/utils/carter_kohn.m -------------------------------------------------------------------------------- /utils/corrvc.m: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/haakonkavli/tvp_var_utils/HEAD/utils/corrvc.m -------------------------------------------------------------------------------- /utils/draw_alpha.m: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/haakonkavli/tvp_var_utils/HEAD/utils/draw_alpha.m -------------------------------------------------------------------------------- /utils/draw_beta.m: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/haakonkavli/tvp_var_utils/HEAD/utils/draw_beta.m -------------------------------------------------------------------------------- /utils/draw_sigma.m: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/haakonkavli/tvp_var_utils/HEAD/utils/draw_sigma.m -------------------------------------------------------------------------------- /utils/heteroskedastic_time_varying_VAR.m: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/haakonkavli/tvp_var_utils/HEAD/utils/heteroskedastic_time_varying_VAR.m -------------------------------------------------------------------------------- /utils/impulse.m: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/haakonkavli/tvp_var_utils/HEAD/utils/impulse.m -------------------------------------------------------------------------------- /utils/lag_matrix.m: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/haakonkavli/tvp_var_utils/HEAD/utils/lag_matrix.m -------------------------------------------------------------------------------- /utils/mvnrnd.m: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/haakonkavli/tvp_var_utils/HEAD/utils/mvnrnd.m -------------------------------------------------------------------------------- /utils/quantile.m: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/haakonkavli/tvp_var_utils/HEAD/utils/quantile.m -------------------------------------------------------------------------------- /utils/ts_prior.m: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/haakonkavli/tvp_var_utils/HEAD/utils/ts_prior.m -------------------------------------------------------------------------------- /utils/wish.m: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/haakonkavli/tvp_var_utils/HEAD/utils/wish.m --------------------------------------------------------------------------------