SIMSZHAECM1999: RATS program to replicate Sims and Zha(1999) Error Bands calculations

Tom Doan ()
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Tom Doan: Estima

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 7.00
Keywords: VAR; Bayesian methods; Monte Carlo; Bootstrapping (search for similar items in EconPapers)
Date: 2025-12-29
Note: RPF and SRC files are plain text. See https://estima.com/ratsfiletypes.shtml
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Citations:

Downloads: (external link)
https://estima.com/procedures/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:rtz00229

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