Matlab code to construct policy rule counterfactuals using evidence on policy shocks, in a way that is robust to the Lucas critique. The codes contain a model-based illustration as well as several empirical applications of our methodology.
Reference: McKay, Alisdair and Christian K. Wolf (2023), "What Can Time-Series Regressions Tell Us About Policy Counterfactuals?".
Tested in: Matlab R2021b