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RATS programs to replicate Lanne-Lutkepohl JMCB 2008 structural VAR with volatility shifts

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language

RATS

Abstract

Replication file for Lanne and Lutkepohl(2008), "Identifying Monetary Policy Shocks via Changes in Volatility", JMCB, vol 40, no 6, 1131-1149. Demonstrates identification of a structural VAR using volatility regimes.

Suggested Citation

  • Tom Doan, "undated". "RATS programs to replicate Lanne-Lutkepohl JMCB 2008 structural VAR with volatility shifts," Statistical Software Components RTZ00109, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:rtz00109
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
    as

    Download full text from publisher

    File URL: https://www.estima.com/procs_perl/lanne_lutkepohl_jmcb2008.zip
    Download Restriction: no
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    More about this item

    Keywords

    VAR with volatility regimes; RATS;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

    Statistics

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