RATS programs to replicate King, Plosser, Stock, Watson AER 1991 results

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Replicates results from King, Plosser, Stock and Watson(1991), "Stochastic Trends and Economic Fluctuations", American Economic Review, vol. 81, pp. 819-840. Demonstrates the procedures swdols.src, swtrends.src, johmle.src, forcedfactor.src

Language: RATS
Requires: RATS 8.00
Keywords: VAR; cointegration; VAR with short- and long-run 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/kpswaer1991.zip (application/zip)

Related works:
Journal Article: Stochastic Trends and Economic Fluctuations (1991)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rtz00107

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