Improving inference and forecasting in VAR models using cross-sectional information

Description

These are the replication materials for the paper "Improving inference and forecasting in VAR models using cross-sectional information" by Jan Prüser and Boris Blagov forthcoming in Economic Modeling

Steps to reproduce

Detailed instructions for replicating all tables and figures are in the README file,

Institutions

• RWI – Leibniz Institute for Economic Research

  North Rhine-Westphalia, Essen
• TU Dortmund University

  North Rhine-Westphalia, Dortmund

Categories

Funders

• Deutsche Forschungsgemeinschaft

  Bonn

  Grant ID: 468814087

Licence