FARRANTPEERSMANJMCB2006: RATS program to replicate Farrant-Peersman(2006) sign restricted VAR's

Tom Doan ()
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Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

Abstract: Replication files for Farrant and Peersman(2006), "Is the Exchange Rate a Shock Absorber or a Source of Shocks? New Empirical Evidence", Journal of Money, Credit and Banking, vol 38, no. 4, pp 939-961. This has several models that identify multiple shocks using sign restrictions.

Language: RATS
Requires: RATS 11.00
Keywords: VAR; Sign Restriction (search for similar items in EconPapers)
Date: 2026-01-02
Note: An RPRJ is a specialized zip file including one or more program files and data files. See https://estima.com/ratsfiletypes.shtml
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Downloads: (external link)
https://estima.com/procedures/FarrantPeersmanJMCB2006.rprj (application/zip)

Related works:
Journal Article: Is the Exchange Rate a Shock Absorber or a Source of Shocks? New Empirical Evidence (2006)
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