This zip file contains the Matlab code for replicating the application in Chan, Yu and Zhang (2026).
The three main files are:

Estimating VAR models: 'Estimation.m' (replicating Table 3 and 4)
Estimating VAR models with reversed order of variables: 'Estimation_reverse.m' (replicating Table 5)
Estimating Copula models: 'Estimation_copula.m' (replicating Table 6)

The code was written using MATLAB R2022a.

This code is free to use for academic purposes only. For more details about the models
please see

Chan, J.C.C., Yu, X. and Zhang, W. (2026). Bayesian Model Comparison for Large Bayesian VARs after the COVID-19 Pandemic. Journal of Econometrics, 256: 106072

This code comes without technical support of any kind. It is expected to
reproduce the results reported in the paper. Under no circumstances will
the author be held responsible for any use (or misuse) of this code in any way.