Code for "Drifts and Volatilities under Measurement Error" (with P. Amir-Ahmadi and M.-C. Wang) , Quantitative Economics (2016)

This code builds mainly on the codes kindly provided by Koop and Korobilis. We have extended the codes to include measurement errors as detailed in our paper. Regarding the calculation of generalized impulse response function we build on codes kindly provided by Baumeister and Peersman (2013). Another source to be mentioned is the util folder of the econometric toolbox by James P. LeSage. All extensions and modification are commented and documented in the files themselves. For more information see ReadMeQE.pdf in the ReadMe folder.