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Commits on Feb 27, 2018

• Corrected scaling and aggregation of uncertainty index.

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Commits on Feb 24, 2018

• Implemented aggregation and scaling on the level of logged squared u.

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Commits on Feb 21, 2018

• Measure unemployment by unrate.

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• Dates after uncertainty generation are now in udates.

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• Purging GJ shocks and miscellaneous cleanup.

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• Function name now matches file name.

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Commits on Feb 18, 2018

• Walking through scripts and cleaning up.

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• Added description to data wrangling scripts. Now only do monthly data.

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Commits on Feb 17, 2018

• IRFs are now computed for several dependent variables and uncertainty horizons at once.

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• Dates after uncertainty construction are now called udates.

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• Made IRF via VAR companion form into separate function.

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Commits on Feb 16, 2018

• Added computation from hard threshold model selection.

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• SV model is now a function that is called separately for each set of residuals.

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• Split off generating uncertainty into dedicated function.

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Commits on Feb 15, 2018

• LASSO model selection via MSE-optimal lambda.

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• Changed MSE for fminbnd such that it outputs only MSE and nothing else.

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Commits on Feb 14, 2018

• Changed max number of factors considered to match EZ code.

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• Implementing LASSO model selection and shrinkage for factor forecasts.

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• Moved SVAR estimation to extra file.

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• Eurozone SVAR with Cholesky identification.

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• Testing LASSO implementation.

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• OOS forecast experiment code.

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• Searches for MSE optimal lambda in a sequence of forecast experiments.

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• Pendse (2011) LASSO implementation for given lambda.

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Commits on Feb 13, 2018

• Compute monetary policy shocks and construct IRF with interaction term.

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• Nonfunctional code for forecast experiment in MATLAB.

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• Now supports interaction terms via multiple columns in shocks argument.

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• Read transformation instructions from meta data xlsx.

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• Made plotting large dataframe to pdf into function. NOT WORKING ATM!

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• Ignore .txt output from vare function.

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• Forecast experiment from RR replication

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Commits on Feb 10, 2018

• Explorations with shocks from GJ database.

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• Purge endogeneity from ECB rates by regressing on forecasts.

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• Computes optimal lag length in factors before estimation.

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• Changed selection of chosen information criterion via explicit 'aic'.

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