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RATS programs to estimate structural VAR-GARCH-M model

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language

RATS

Abstract

Replication file for Elder and Serletis(2010), "Oil Price Uncertainty", Journal of Money, Credit and Banking, Vol. 42, No. 6, 1137-1159.

Suggested Citation

  • Tom Doan, "undated". "RATS programs to estimate structural VAR-GARCH-M model," Statistical Software Components RTZ00052, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:rtz00052
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
    as

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    File URL: https://www.estima.com/procs_perl/elderserletis_jmcb2010.zip
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    More about this item

    Keywords

    VAR-GARCH-M model; RATS;

    JEL classification:

    • E69 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Other
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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