RATS programs to replicate Sims and Zha(1999) "Error Bands for Impulse Responses"

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: This zip file includes most of the analysis in Sims and Zha(1999), "Error Bands for Impulse Responses", Econometrica, vol 67, no. 5, pp 1113-1156. This includes calculation of error bands using Monte Carlo integration, bootstrapping and also includes IRF's for a structural VAR.

Language: RATS
Requires: RATS 8.00
Keywords: VAR; bootrapping; Monte Carlo integration (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/simszhaecm1999.zip (application/zip)

Related works:
Journal Article: Error Bands for Impulse Responses (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rtz00145

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