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José Nicolás Rosas's Projects

blp icon blp

Codes for for Bayesian Local Projections & Bayesian Direct Forecasts

confidence_bands icon confidence_bands

This repository contains a Matlab suite to implement the sup-t band and other popular simultaneous confidence bands in the environment described in the paper "Simultaneous Confidence Bands: Theory, Implementation, and an Application to SVARs", by Jose Luis Montiel Olea and Mikkel Plagborg-Møller; Journal of Applied Econometrics, 2018.

fair icon fair

Matlab code for"Functional Approximation of Impulse Responses" with Regis Barnichon, Journal of Monetary Economics, forthcoming

lp_var_simul icon lp_var_simul

Simulation study of Local Projections, VARs, and related estimators

nlp_lss_2023 icon nlp_lss_2023

repo for "Natural Language Processing for Law and Social Science" @ ETH Zurich, Spring 2022

proxy-svar-smc icon proxy-svar-smc

Replication code for "Monetary Policy, Credit Spreads, and Business Cycle Fluctuations"

svariv icon svariv

Matlab suite for weak-instrument robust confidence intervals

svma_iv icon svma_iv

Inference in SVMA models identified by external instruments/proxies

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