giob1994/ridge_var

Reproduction material for "Ridge Regularized Estimation of VAR Models for Inference", Ballarin (2023)

Reproduction material for "Ridge Regularized Estimation of VAR Models for Inference", Ballarin (2023)

Link to paper: [ArXiv]

Information

Code tested with MATLAB R2020b.

Some scripts were run on cluster. The author acknowledges support by the state of Baden-Württemberg through bwHPC.

External resources, code and data used:

. Hansen (2016), "Stein Combination Shrinkage for Vector Autoregressions" https://users.ssc.wisc.edu/~bhansen/progs/var.html

. Giannone et al. (2015), "Prior Selection for Vector Autoregressions" http://faculty.wcas.northwestern.edu/gep575/GLPreplicationWeb.zip