SHILLER: RATS program to demonstrate Shiller smoothness prior for distributed lag

Tom Doan ()
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Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

Abstract: Demonstrates estimation of a distributed lag using the Shiller Smoothness prior. Shiller, R.J. (1973). "A Distributed Lag Estimator Derived from Smoothness Priors." Econometrica, Vol. 41, pp. 775-788.

Language: RATS
Requires: RATS 11.00
Keywords: Distributed; lags (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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https://estima.com/procedures/shiller.rprj (application/zip)

Related works:
Journal Article: A Distributed Lag Estimator Derived from Smoothness Priors (1973)
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