README.md

ez-shocks

Adapted from Jurado, Ludvigson, Ng (2015) using code supplied by Serena Ng at:

• http://www.columbia.edu/~sn2294/research.html

Generate macro uncertainty

1. Clean and suitably transform data.

import_data.m

2. Estimate number of latent factors in data and extract via PCA. Forecast macro variables and save prediction errors.

factors_forecast.m

3. Estimate latent stochastic volatility in prediction errors

svydraws.R
svfdraws.R

4. Compute uncertainty in variables and build aggregate index

uncertainty.m