RATS programs to replicate Aruoba, Diebold and Scotti JBES 2009
Tom Doan ()
Statistical Software Components from Boston College Department of Economics
Replication file for Aruoba, Diebold and Scotti(2009), "Real-Time Measurement of Business Conditions," Journal of Business and Economic Statistics, vol 27, no 4, 417-427. Instead of brute force with a huge state vector, this uses aggregator states to handle the lags of the indicator for the two flow variables. The authors have an update on the ADS website that describes this.
Requires: RATS 8.00
Keywords: State-space; models (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See http://www.estima.com/ratsfiletypes.shtml
References: Add references at CitEc
Citations Track citations by RSS feed
Downloads: (external link)
Journal Article: Real-Time Measurement of Business Conditions (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:boc:bocode:rtz00002
Ordering information: This software item can be ordered from
Access Statistics for this software item
More software in 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 ().