LANNELUTKEPOHLJMCB2008: RATS programs to replicate Lanne-Lutkepohl JMCB 2008 structural VAR with volatility shifts

Tom Doan ()
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Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

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.

Language: RATS
Requires: RATS 11.00
Keywords: VAR; with; volatility; regimes (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/LanneLutkepohlJMCB2008.rprj (application/zip)

Related works:
Journal Article: Identifying Monetary Policy Shocks via Changes in Volatility (2008)
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