WZSAMPLER: RATS program to uses the Waggoner-Zha(2003) sampler for analyzing a structural VAR

Tom Doan ()
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Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

Abstract: This uses the Waggoner-Zha(2003) sampler, "A Gibbs sampler for structural vector autoregressions," Journal of Economic Dynamics and Control, 28(2), 349–366 to analyze a structural VAR.

Language: RATS
Requires: RATS 11.00
Keywords: VAR; Bayesian methods; Monte Carlo (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/wzsampler.rprj (application/zip)

Related works:
Journal Article: A Gibbs sampler for structural vector autoregressions (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rtj00082

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