[ZIP] Tao Zha's Matlab Library ZhaMatlabLibrary. This library contains common Matlab functions used by other programs. Before using other programs, please download the library first and then put all the library files in a subdirectory that can be accessed by Matlab.
[ZIP] The Matlab and C program, PublicCode_swzestimate.zip (4.8MB), for estimating Sims, Waggoner, and Zha's Markov-Switching BVAR models. Read the file Instructions_swz_estimate.prn for instructions of how to use this program. The executable files swzmsbvario.exe and swzestimate.exe are for Windows; the executable files swzmsbvario and swzestimate for Linux. If you wish to compile and link the C source files yourself, click on TZCcode.zip (562KB) to download the source code. You need a modern C++ complier, Intel MKL, and IMSL C library to compile. For compilation questions under the Windows or Linux operating system, please write to Eric Wang at Keyun.Wang@atl.frb.org.
[ZIP] The Matlab code for structural VARs with linear over-identified restrictions on both current and lagged coefficients discussed in Cushman and Zha (1997) and Zha (1999). This example, motivated by Dhawan and Jeske's DSGE model, uses the four variables: energy prices, durable investment, capital investment, and output. It is assumed that energy prices follow an exogenous autoregressive process. The code performs the three common tasks: (1) estimates the model parameters and impulse responses with or without the standard Bayesian prior, (2) computes the error bands for impulse responses, and (3) computes the marginal likelihood or data density. Click on readme_restrictedVAR.zip (34KB) to download the core files. Consult the file readme_mdd.prn for detailed explanations and instructions.
[ASCII] The C source code for Shocks and Government Beliefs: The Rise and Fall of American Inflation by Sargent, Williams, and Zha. To download this program, click on the files modeleconomy.c, modeleconomy.h, swz_comfuns.c, swz_comfuns.h, and probconst.c .
[ASCII] The RWZ algorithm SRestrictRWZalg.m for implementing VAR sign restrictions of Canova, Faust, and Uhlig. This new algorithm proves very efficient as compared to the existing algorithms and is coded up in Matlab. The algorithm is described in detail in the paper MARKOV-SWITCHING STRUCTURAL VECTOR AUTOREGRESSIONS: THEORY AND APPLICATION by Rubio, Waggoner, and Zha
[ZIP] The Matlab code ReducedFormBVAR.zip (9KB) for unconditional forecasts from a reduced-form Bayesian Vector Autoregressive (BVAR) model with the Sims and Zha (IER, 1998)'s prior.
[ZIP] The Matlab code for estimating the Bayesian Vector Autoregressive (BVAR) models, just-identified and over-identified, with the Sims and Zha (IER, 1998)'s prior. Read the Word file Readme_BVAR.doc to see the instruction of how to use this code and click on AlphaModel_Files.zip (1.1MB) to download. The code was originally written by Zha and is extensively modified by Andy Bauer, a senior economic analyst, at the Federal Reserve Bank of Atlanta. The article by Robertson and Tallman is particularly useful for understanding the prior as well as various features of the model (e.g., the out-of-sample forecasts from this kind of BVAR model is insensitive to whether the data are of real time nature or in final revised form).
[ZIP] The Matlab code for computing the marginal likelihood or data density for structural BVAR models (including overidentified cases). Click on swz_mardd.zip (23KB) to download. Read the file readme_mdd.prn to see the instructions of how to use this code.
[ZIP] The Matlab code for a Gibbs sampler for just-identified and overidentified BVARs. To download it, click on GibbsVar.zip (129KB).
[ZIP] The Matlab sample code that uses the Waggoner-Zha Gibbs (and optionally Metropolis) sampler, Waggoner-Zha normalization, and optionally the Sims-Zha prior. To see an example of using this code, click on example.zip (97KB).
[ZIP] The Matlab code for Conditional Forecasts in Dynamic Multivariate Models by Waggoner and Zha (Review of Economics and Statistics 1999). Click on Cfprob.zip (80KB) to download.
[ZIP] The Matlab code for Error Bands for Impulse Responses by Sims and Zha (Econometrica 1999). To download it, click on EconometricaSimsZha1999.zip (482KB) and SimpleModel_ClassicalBootstrap.zip (438KB).
[ZIP] The Matlab code for Block Recursion and Structural Vector Autoregressions by Zha (J of Econometrics 1999). To download it, click on Blkwk.zip (26KB), meg.zip (6KB), TZBlk.zip (22KB), and Xd12.zip (11KB).
[ZIP] The Matlab code for Identifying Monetary Policy in a Small Open Economy under Flexible Exchange Rates by Cushman and Zha (JME 1997). To download it, click on CushmanZha_JME.zip (943KB) and fig2.zip (203KB).