基于时变的因子向量自回归模型的matlab程序-Based on time-varying factor vector autoregression model matlab program

本软件是伯南克提出时变的因子扩展VAR模型，能够考察变量间的冲击效应，及其结构变化特征，克服通常VAR的变量少等缺陷。-This software is the factor Bernanke proposed changing the extended VAR model, to study impact effect among the variables, and structural changes, less often ov

tvp-fa-var 宏观经济分析、货币政策研究常用程序包(tvp-fa-var toolbox, useful for macroeconomic analysis)

用matlab 估计TVP FAVAR模型，基于贝叶斯估计法(Using MATLAB to estimate the favar model, based on Bayesian estimation method)