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UHLIGFUNCS: RATS procedure to compute criteria for Uhlig sign-restricted shocks

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language

RATS

Abstract

This is a pair of functions for simplifying the specification of sign-constrained impulse response functions. One is to implement the rejection method; the other calculates the penalty function, as described in Uhlig(2005), "What are the effects of monetary policy on output? Results from an agnostic identification procedure", Journal of Monetary Economics, 52, pp 381-419. You should look at the replication files for that paper to see how these are used.

Suggested Citation

  • Tom Doan, "undated". "UHLIGFUNCS: RATS procedure to compute criteria for Uhlig sign-restricted shocks," Statistical Software Components RTS00217, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:rts00217
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
    as

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    File URL: https://www.estima.com/procs_perl/uhligfuncs.src
    Download Restriction: no
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    More about this item

    Keywords

    VAR with sign-restrictions; RATS;

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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