RATS program to demonstrate Monte Carlo Impulse Responses for a Near-VAR

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Demonstrates an efficient method of drawing from the posterior distribution of a near-VAR by means of importance sampling for the covariance matrix.

Language: RATS
Requires: RATS 8.00
Keywords: Near-VAR (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/montesur.rpf (text/plain)

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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rtz00118

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