TVP_FAVAR

代码说明：

  本软件是伯南克提出时变的因子扩展VAR模型，能够考察变量间的冲击效应，及其结构变化特征，克服通常VAR的变量少等缺陷。(This software is the factor Bernanke proposed changing the extended VAR model, to study impact effect among the variables, and structural changes, less often overcome VAR variable defects.)