Kadiyala and Karlsson 'Numerical Methods for Estimation and Inference in Bayesian VAR-models', forthcoming, Journal of Applied Econometrics. The source for the Fortran program is in VAR.ZIP (see below for exact contents) The file README.VAR gives instructions for compiling and running the program. SYNTAX.TXT gives additional information on the commands used within the program. The data and some example files which (with slight modifications, i.e., uncommenting the relevant parts) reproduces the results in the paper are in DATA.ZIP. Sune Karlsson, stsk@hhs.se Content of the archive DATA.ZIP LITTDIF CMD 1393 95-12-17 21.50 * Forecasting experiments with the LITTDIF OUT 7725 95-07-13 12.30 * Litterman model. Files are currently LITTENGI CMD 1530 95-12-17 21.50 * set up to obtain the posterior LITTENGI OUT 9883 95-07-13 12.30 * distribution of the forecasts. As is LITTMIN CMD 2499 95-12-17 21.50 * the .CMD files will write auxilliary LITTNDGI CMD 1684 95-12-17 21.49 * output files of several MB LITTNDGI OUT 62195 95-12-17 21.07 * .OUT files are corresponding output LITTNW CMD 1455 95-12-17 21.11 * files, these can be used to verify LITTNW OUT 7763 95-07-13 12.30 * the operation of the program. LITTOLS CMD 1138 95-12-17 21.17 * LITTERMA DAT 12320 95-11-19 18.19 * US Data file for the Litterman model * The variables are organized as columns with one observation per row. * Quarterly data starting 1948:1. * The variables are OBS RGNPG INFLA UNEMP LM1 INVEST CPRATE CBI * i.e. Observation number, Real growth rate of GNP (annualized quarterly * changes in real GNP), Inflation rate (annualized quarterly changes in the * implicit GNP deflator), Unemployment (percent of civilian labor force), * Log of average of monthly M1 data, Gross Private Domestic Investment * (nominal), 4-6 month commerical paper rate (averages of daily rates), * Changes in Business Inventory (nominal at annual rates). * RGNPG is obtained from from seasonally adjusted nominal GNP and the * seasonally adjusted GNP deflator. M1, UNEMP, INVEST and CBI are seasonally * adjusted. README TXT 5530 96-10-22 23.35 * This file SWEV4DI CMD 1430 96-10-22 21.57 * Forecasting experiments with the SWEV4DI MS 101398 96-10-22 22.10 * Swedish unemployment model. SWEV4DI OUT 101578 96-10-23 1.37 * .CMD files are input files for the SWEV4E2 CMD 1532 96-10-22 21.57 * VAR program. SWEV4EN CMD 1602 96-10-22 22.06 * .MS and .OUT files are corresponding SWEV4EN MS 20052 96-10-22 22.10 * output files, these can be used to SWEV4EN OUT 20240 96-10-23 1.37 * verify the operation of the program. SWEV4MI CMD 2624 96-10-23 1.45 * .MS are output from the Windows NT SWEV4MI MS 145227 96-10-23 1.49 * version of the program and .OUT are SWEV4MI OUT 145387 96-10-23 2.09 * from the VAX/VMS version (the SWEV4ND CMD 1548 96-10-22 22.05 * used in the paper). The output SWEV4ND MS 14274 96-10-22 22.13 * differs slightly between the versions SWEV4ND OUT 14438 96-10-23 1.37 * (see discussion in README.VAR) SWEV4NW CMD 1486 96-10-22 22.04 * SWEV4NW MS 101403 96-10-22 22.14 * SWEV4NW OUT 101595 96-10-23 1.37 * SWEV4OL CMD 1017 95-06-25 22.13 * SWEV4OL MS 42994 96-10-22 22.14 * SWEV4OL OUT 43070 96-10-23 1.37 * SWEVE24A CMD 894 95-12-17 21.22 * Examples of searching over the hyper SWEVEN4A CMD 873 95-12-17 21.22 * parameters to determine the values SWEVMI4A CMD 786 95-12-17 21.21 * used with the prior distributions SWEVMI4A OUT 27870 95-12-17 21.21 * SWEVND4A CMD 856 95-12-17 21.20 * SWEVNW4A CMD 912 95-12-17 21.19 * SWEVAR3A DAT 9048 93-11-10 23.16 * Data file for the Swedish * Unemployment model. * The variables are organized as columns with one observation per row. * Quarterly data starting 1964:1. * The variables are LIPSWE, UNEMP, S1, S2, S3, S4. * LIPSWE is the logarithm of the Swedish industrial production index (average * of monthly data), UNEMP is the three month average of the unemployment rate * (0.5 is added to observations 87:1 - 90:4 to account for a change in the * collection of data). S1 - S4 are seasonal dummies. Content of the archive VAR.ZIP BAYES FOR 89162 96-10-20 20.34 COMPARSE FOR 89706 96-10-21 13.46 COMPILE COM 486 96-10-22 22.16 DALL INC 186 95-12-17 18.28 DWORK INC 136 95-12-15 17.49 ENCGIBB FOR 7169 96-10-20 20.34 FIXIMSL FOR 679 96-10-21 18.59 FUNC FOR 19244 96-10-20 20.34 GIBBS FOR 20283 96-10-20 20.34 IO FOR 22061 96-10-20 20.34 IOCOM INC 702 95-12-15 17.49 LINFOR INC 112 95-12-15 17.49 LINMOD FOR 25944 96-10-20 20.34 LINMOD INC 1350 95-12-17 19.48 LOOP INC 210 96-02-23 23.57 MATRIX FOR 71870 96-10-20 20.34 MCIDO FOR 84265 96-10-20 20.34 MCINT FOR 38499 96-10-20 20.34 MCISHELL FOR 46856 96-10-20 20.34 MEM INC 310 95-12-17 18.41 MEMMAN FOR 51362 96-10-20 20.34 MSPS4 FOR 10522 96-10-22 20.51 PARSCOM INC 113 95-12-15 17.49 PARSE FOR 35330 96-10-20 20.34 RANDOM FOR 59848 96-10-20 20.34 README TXT 5318 95-12-21 19.47 README VAR 5214 96-10-22 23.25 STRCOM INC 55 95-12-15 17.49 SUBSTCOM INC 282 95-12-15 17.49 SYNTAX TXT 13609 95-12-21 19.01 TIMING FOR 1634 96-10-20 20.34 VAR COM 317 95-12-16 21.49 VAR FOR 38075 96-10-22 21.06 VARS INC 385 95-12-17 19.09 VMS FOR 6698 96-10-21 18.24