Measuring the Effects of a Shock to Monetary Policy - Humboldt ...

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Bayesian FAVARs with Agnostic Identification 55 DO_CALCULATION_SETMODEL.m Initializes calculation.stateSpaceStructure. DO_CALCULATION_CREATESTRUCTURE.m Initializes calculation.Phi_bar_collect
56 Bayesian FAVARs with Agnostic Identification calculation.QQ_bar_collect calculation.F_bar_collect calculation.Lam_collect. DO_CALCULATION_GIBBS_SAMPLING.m This function does the Gibbs Sampling by calling the functions DO_CALCULATION_GIBBS_SAMPLING_BK_FILTER, DO_CALCULATION_GIBBS_SAMPLING_BK_SMOOTHER, DO_CALCULATION_GIBBS_SAMPLING_PARAM_PREC_OBS and DO_CALCULATION_GIBBS_SAMPLING_PARAM_PREC_FAC for each Gibbs iteration. After each Iteration the results are stored in the global calculation data structure after ignoring the first input.version.burn_in draws.
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Measuring the Effects of a Shock to Monetary Policy - Humboldt ...

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