About the authors
Hilde C. Bjørnland is Professor of Economics and Director of the Centre for Applied Macro- and Petroleum Economics at the BI Norwegian Business School and visiting scholar to Norges Bank.
Leif Anders Thorsrud is Assistant Professor at BI Norwegian Business School and has more than 6 years of experience as model builder and forecaster at Norges Bank.
Chapters and matlab codes
By clicking on the links below you can download folders containing Matlab codes and data accompanying each chapter of the book. To execute the replication files associated with the examples in the book, run the file(s) starting with the name: "chapter...". Each folder also contains a number of auxiliary files. These are needed to run the main programs. Please refer to the book if you use the codes for research or commercial purposes.
- Time Series
- Trend and cycles
- Vector autoregression (VAR)
- Structural Vector autoregression (SVAR)
- State-Space Models and the Kalman Filter
If the links are broken, or the codes do not work, please contact the authors.
Format: Hard cover. Published: 2015. Publisher: Gyldendal akademisk. Language: English.
The book exists in two versions. The first issue was published in 2014. The new 2015 release contains an updated version of Chapter 6, now including material on GMM estimation and inference, as well as a new Chapter 10, covering state-space models and the Kalman Filter. For more information please visit the publishers webpage .
Unfortunately there are some typos associated with the 2014 edition of the book, for which we apologize. This link contains a list of the known knowns. There are likely also known unknowns. If you discover these (or unknown unknowns), please do not hesitate to inform or ask the authors.