Empirical Macro Toolbox

The empirical macro toolbox (EMT) is a free, open-source, end-to-end macro empirics kit, written in MATLAB and compatible with GNU Octave. At its core are Bayesian VAR (BVAR) models—one of the most versatile ways to structure and analyze macroeconomic data, spanning forecasting, scenario design, nowcasting, and shock identification within a single disciplined framework. The package also contains functions and routines to estimate panel VARs, FAVARs, local projections, trend/cycles decomposition and other models. We describe the methodology employed and implementation of the functions. We illustrate the main features with a number of practical examples.

Toolbox: codes

Dependency function map (with its help summary): function map

A hitchhiker guide to empirical macro models: up-to-date paper

Video Tutorial: EMT - YouTube