RATS program to replicate Ehrmann-Ellison-Valla(2003) regime dependent impulse response

Tom Doan ()
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Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

Abstract: Replicates results from Ehrmann, Ellison, Valla (2003), "Regime-dependent impulse response functions in a Markov-switching vector autoregression model", Economics Letters, Vol. 78, pp. 295-299. The data set is a reconstruction rather than the authors' original data set.

Language: RATS
Requires: RATS 8.00
Keywords: VAR; Markov switching (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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Downloads: (external link)
https://www.estima.com/procs_perl/ehrmann_ellison_valla_el2003.zip (application/zip)

Related works:
Journal Article: Regime-dependent impulse response functions in a Markov-switching vector autoregression model (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rtz00177

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