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 https://www.estima.com/ratsfiletypes.shtml
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Journal Article: Real-Time Measurement of Business Conditions (2009)
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Persistent link: http://EconPapers.repec.org/RePEc:boc:bocode:rtz00002
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