RATS programs to replicate Bernanke and Mihov QJE 1998

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Replication files for Bernanke & Mihov(1998), "Measuring Monetary Policy", QJE, vol 113, no 3, 869-902 (monthly data calculations). This includes maximum likelihood estimation of structural VAR's, Markov switching estimate of an SVAR and Monte Carlo integration of a just identified SVAR.

Language: RATS
Requires: RATS 8.00
Keywords: Structural VAR; Markov switching SVAR (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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https://www.estima.com/procs_perl/bernankemihovqje1998.zip (application/zip)

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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rtz00013

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