RATS programs to replicate Lanne-Lutkepohl JMCB 2008 structural VAR with volatility shifts

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Replication file for Lanne and Lutkepohl(2008), "Identifying Monetary Policy Shocks via Changes in Volatility", JMCB, vol 40, no 6, 1131-1149. Demonstrates identification of a structural VAR using volatility regimes.

Language: RATS
Requires: RATS 7.30
Keywords: VAR; with; volatility; regimes (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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Citations:

Downloads: (external link)
https://www.estima.com/procs_perl/lanne_lutkepohl_jmcb2008.zip (application/zip)

Related works:
Journal Article: Identifying Monetary Policy Shocks via Changes in Volatility (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rtz00109

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