Comparing Stochastic Volatility Specifications for Large Bayesian VARs

Joshua Chan (2023)
Journal of Econometrics, 235(2): 1419-1446
[ Journal Version | Working Paper | Code ]

How to cite. If you use this code or report results comparing stochastic volatility specifications for large Bayesian VARs, please cite: Chan (2023), Comparing Stochastic Volatility Specifications for Large Bayesian VARs, Journal of Econometrics, 235(2): 1419-1446.

Related modules. Large Bayesian VARs overview | Order-invariant BVAR-SV | MAHP prior | High-dimensional state space models | Precision sampler (state space)

This code estimates five VARs and the corresponding marginal likelihoods. The VARs are:

1. VAR: standard homoskedastic VAR
2. VAR-CSV: VAR with the common stochastic volatility
3. VAR-SV: VAR with the Cholesky stochastic volatility
4. VAR-FSV: VAR with the factor stochastic volatility
5. VAR-SVO: extension of VAR-SV with an outlier component