STOCKWATSONJASA1998: RATS program to replicate Stock and Watson Median Unbiased Estimation of Drift Variance

Tom Doan ()
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Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

Abstract: Replication file for Stock and Watson(1998), "Median Unbiased Estimation of Coefficient Variance in a Time-Varying Parameter Model," JASA, vol 93, 349-358.

Language: RATS
Requires: RATS 11.00
Keywords: State-space models; Stability tests (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/StockWatsonJASA1998.rprj (application/zip)

Related works:
Working Paper: Asymptotically Median Unbiased Estimation of Coefficient Variance in a Time Varying Parameter Model (1996)
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