# Statistical Software Components

From Boston College Department of Economics

Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA.

Contact information at EDIRC.

Series data maintained by Christopher F Baum ().

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- RATS programs to replicate Burnside's JBES 1994 paper on asset pricing
*Tom Doan*
- RATS programs to replicate Campbell and Ammer's JOF 1993 paper
*Tom Doan*
- RATS programs to replicate CKLS(1992) estimation of interest rate models
*Tom Doan*
- RATS programs to replicate Den Haan JME(2000) correlation of comovements
*Tom Doan*
- RATS programs to replicate Dennis Macroeconomic Dynamics 2007 optimal control
*Tom Doan*
- RATS programs to replicate Diebold and Yilmaz EJ 2009 spillover calculations
*Tom Doan*
- RATS programs to replicate Diebold,Rudebusch,Aruoba 2006 factor model
*Tom Doan*
- RATS programs to replicate Dueker(1997) Markov switching GARCH models
*Tom Doan*
- RATS programs to replicate Dueker(2005) JBES dynamic probit model
*Tom Doan*
- RATS programs to replicate Enders-Siklos(2001) JBES paper on threshold cointegration
*Tom Doan*
- RATS programs to replicate Enders/Granger JBES(1998)on threshold unit roots
*Tom Doan*
- RATS programs to replicate examples of Bai-Perron procedure
*Tom Doan*
- RATS programs to replicate Fabiani-Mestre 2004 NAIRU model results
*Tom Doan*
- RATS programs to replicate Faust and Leeper JBES 1997 paper
*Tom Doan*
- RATS programs to replicate Filardo JBES 1994 paper with time-varying Markov switching
*Tom Doan*
- RATS programs to replicate Gali's QJE 1992 results
*Tom Doan*
- RATS programs to replicate Gonzalo and Granger JBES 1995 paper
*Tom Doan*
- RATS programs to replicate Gray's 1996 Regime Switching GARCH paper
*Tom Doan*
- RATS programs to replicate Hansen's example of threshold break in panel data
*Tom Doan*
- RATS programs to replicate Hansen's examples of Andrews-Ploberger test
*Tom Doan*
- RATS programs to replicate Hansen's GARCH models with time-varying t-densities
*Tom Doan*
- RATS programs to replicate Hansen's threshold estimation and testing results
*Tom Doan*
- RATS programs to replicate Hansen/Seo paper on threshold cointegration
*Tom Doan*
- RATS programs to replicate Ireland's JEDC 2004 estimation of DSGE model
*Tom Doan*
- RATS programs to replicate Jacquier, Polson, Rossi (1994) stochastic volatility
*Tom Doan*
- RATS programs to replicate King, Plosser, Stock, Watson AER 1991 results
*Tom Doan*
- RATS programs to replicate Krolzig MS-VAR's for six country models
*Tom Doan*
- RATS programs to replicate Lanne-Lutkepohl JMCB 2008 structural VAR with volatility shifts
*Tom Doan*
- RATS programs to replicate Mark-Sul(2003) panel DOLS
*Tom Doan*
- RATS programs to replicate Michael-Nobay-Peel ESTAR models
*Tom Doan*
- RATS programs to replicate Morley-Nelson-Zivot state space decomposition
*Tom Doan*
- RATS programs to replicate Mountford and Uhlig JAE 2009 sign-constrained VAR
*Tom Doan*
- RATS programs to replicate Ozbek and Ozlale state space model with time-varying coefficients
*Tom Doan*
- RATS programs to replicate Papell and Prodan one and two break unit root tests
*Tom Doan*
- RATS programs to replicate Pedroni PPP tests on panel data
*Tom Doan*
- RATS programs to replicate Perron-Wada state space model
*Tom Doan*
- RATS programs to replicate Pesaran, Shin and Smith, pooled mean group panel data
*Tom Doan*
- RATS programs to replicate Quah and Vahey core inflation estimation
*Tom Doan*
- RATS programs to replicate results from Gregory and Hansen(1996) JOE article
*Tom Doan*
- RATS programs to replicate Sims and Zha(1999) "Error Bands for Impulse Responses"
*Tom Doan*
- RATS programs to replicate Sinclair(2009) bivariate state-space model
*Tom Doan*
- RATS programs to replicate structural break test with Hansen's fixed regressor bootstrap
*Tom Doan*
- RATS programs to replicate Terasvirta's 1994 STAR model results
*Tom Doan*
- RATS programs to replicate Tsay's 1998 multivariate threshold results
*Tom Doan*
- RATS programs to replicate Tse's constant correlation GARCH test results
*Tom Doan*
- RATS programs to replicate Uhlig's VAR identification technique
*Tom Doan*
- RATS programs to replicate Willinger, Taqqu, Teverovsky(1999)
*Tom Doan*
- RATS programs to replicate Wright's Alternative Variance Ratio test results
*Tom Doan*
- RATS programs to replicates Gali's AEA 1999 VAR results
*Tom Doan*
- RBC: Mathematica notebook to solve and simulate Real Business Cycle models
*Ibrahima Diallo*