Replication Folder for Paper "Generalized Impulse Response Analysis for Time-Varying VAR Models"
Description
Matlab codes and datasets for the paper "Generalized Impulse Response Analysis for Time-varying VAR Models"
Files
Steps to reproduce
####################### Replication instruction ####################### ## Application 1 Figure 1 run script Main_GI_1.m or Main_GI_2.m, the outcomes are same. Figure 2 (Top-left) run script Main_GI_1.m Figure 2 (Top-right) run script Main_GI_2.m Figure 2 (Bottom-left) run script Main_OI_1.m Figure 2 (Bottom-right) run script Main_OI_2.m ## Application 2 Table 3 and Figure 3 run script Summary_and_RV_plot.m Figure 4 and Figure 5 run script Main_connectedness.m, setting p = 3 and j = 10 Figure A.1 and A.2 first set {p = 1,2,3,4,5; j = 10} and run script Main_connectedness.m to obtain the estimated volatility spillover indices (saved as connectedness_Asia_p_{i}.mat (i = 1,2,3,4,5)), then run script Robustness_of_p.m Figure A.3 and A.4 first set {p = 3, j = 15} and run script Main_connectedness.m to obtain the estimated volatility spillover indices (saved as connectedness_Asia_p_3_j_15.mat), then run script Robustness_of_H.m ## Simulation Results of DGP1 in Table 1 run script GI_simulation_T_1.m, setting T = 200, 500, 1000 Results of DGP2 in Table 1 run script GI_simulation_T_2.m, setting T = 200, 500, 1000