Bruce E. Hansen
"Stein Combination Shrinkage for Vector Autoregressions"
The file contains the matlab code to create the Stein combination forecasts and Stein combination impulse response estimates for applications.
This file contains the data used in the paper, the matlab code which replicates the empirical work, and the matlab code which creates all the simulation work repored in the paper.
Data and Matlab code
Link to Abstract and PDF File of Paper
Some of the above material is based upon work supported by the National Science Foundation under Grants No. SES-9022176, SES-9120576, SBR-9412339, and SBR-9807111.
Any opinions, findings, and conclusions, or recommendations expressed in this material are those of the author(s), and do not necessarily reflect the views of the NSF.