UHLIGFUNCS: RATS procedure to compute criteria for Uhlig sign-restricted shocks

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: This is a pair of functions for simplifying the specification of sign-constrained impulse response functions. One is to implement the rejection method; the other calculates the penalty function, as described in Uhlig(2005), "What are the effects of monetary policy on output? Results from an agnostic identification procedure", Journal of Monetary Economics, 52, pp 381-419. You should look at the replication files for that paper to see how these are used.

Language: RATS
Requires: RATS 6.30
Keywords: VAR; with; sign-restrictions (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.estima.com/procs_perl/uhligfuncs.src (text/plain)

Related works:
Journal Article: What are the effects of monetary policy on output? Results from an agnostic identification procedure (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rts00217

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