Jorge Alonso-Ortiz

Jorge Alonso Ortiz

Research, teaching, opinions… and dogs

ITAM · Mexico City

Gallery

Overview · Gallery · From Stata & Dynare · Run it anywhere

Every figure, with the code that made it

Every figure below was produced by a script that ships with puremacro. Click any image to read the code that made it, then run it yourself.

Impulse responses & identification · Replications on real data · Structural models · Time variation, regimes & volatility · Data, nowcasting & text

Impulse responses & identification

Narrative sign restrictions around the October 1979 Volcker episode (Antolín-Díaz & Rubio-Ramírez, 2018), on a synthetic DGP
Narrative sign restrictions around the October 1979 Volcker episode (Antolín-Díaz & Rubio-Ramírez, 2018), on a synthetic DGP
Lag-augmented vs Newey–West local projections (Plagborg-Møller & Wolf)
Lag-augmented vs Newey–West local projections (Plagborg-Møller & Wolf)
A local projection on live FRED data
A local projection on live FRED data
Cholesky vs non-Gaussian SVAR impulse responses
Cholesky vs non-Gaussian SVAR impulse responses
Sign-restricted SVAR: standard vs Giacomini–Kitagawa robust bands
Sign-restricted SVAR: standard vs Giacomini–Kitagawa robust bands
Proxy SVAR on a controlled synthetic DGP, Mertens–Ravn style
Proxy SVAR on a controlled synthetic DGP, Mertens–Ravn style

Replications on real data

Galí (1999): hours after a technology shock, in differences and in levels
Galí (1999): hours after a technology shock, in differences and in levels
Kilian (2009): oil-market shocks and the historical decomposition of the real oil price
Kilian (2009): oil-market shocks and the historical decomposition of the real oil price
Ramey & Zubairy (2018): state-dependent spending multipliers and weak-IV diagnostics
Ramey & Zubairy (2018): state-dependent spending multipliers and weak-IV diagnostics
Galí (1999) and Mertens & Ravn (2013) from the built-in datasets
Galí (1999) and Mertens & Ravn (2013) from the built-in datasets

Structural models

Sequence-space HANK: wealth distribution, MPCs, responses to a rate hike and the Jacobian
Sequence-space HANK: wealth distribution, MPCs, responses to a rate hike and the Jacobian
A Dynare-style HANK bridge: Fake News Jacobian and a −25 bp monetary shock
A Dynare-style HANK bridge: Fake News Jacobian and a −25 bp monetary shock
An RBC model simulated from its Klein QZ policy function
An RBC model simulated from its Klein QZ policy function
Bayesian DSGE with NUTS: traces and posteriors
Bayesian DSGE with NUTS: traces and posteriors
Posterior distributions from the NUTS sampler
Posterior distributions from the NUTS sampler
DICE climate-macro: temperature, emissions, damages and the social cost of carbon
DICE climate-macro: temperature, emissions, damages and the social cost of carbon

Time variation, regimes & volatility

TVP-VAR with stochastic volatility (KSC mixture sampler)
TVP-VAR with stochastic volatility (KSC mixture sampler)
Markov-switching VAR recession dating
Markov-switching VAR recession dating
DCC time-varying correlation recovering a regime shift
DCC time-varying correlation recovering a regime shift
GARCH-MIDAS: short-run volatility and a secular macro component
GARCH-MIDAS: short-run volatility and a secular macro component
HAR model of realized volatility
HAR model of realized volatility
BVAR fan charts from the Gibbs sampler
BVAR fan charts from the Gibbs sampler

Data, nowcasting & text

Nowcasting GDP: latent factors, loadings and the news decomposition
Nowcasting GDP: latent factors, loadings and the news decomposition
A hawkishness index from FOMC communication and its effect on rates and inflation
A hawkishness index from FOMC communication and its effect on rates and inflation
Narrative tax shocks across G7 countries
Narrative tax shocks across G7 countries
Real-time data: how revisions change a series and its forecast
Real-time data: how revisions change a series and its forecast
Wavelet variance decomposition across cycle lengths
Wavelet variance decomposition across cycle lengths
Penalized forecasting with the elastic net and adaptive lasso
Penalized forecasting with the elastic net and adaptive lasso

Run them yourself

pip install puremacro
python -m puremacro.examples.gali_1999_hours

Most examples need no data and no API key. Browse all 91 scripts on GitHub.