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

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  • Tom Doan

    ()
    (Estima)

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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.

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File URL: http://www.estima.com/procs_perl/uhligfuncs.src
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Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number RTS00217.

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Programming language: RATS
Requires: RATS 6.30
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Handle: RePEc:boc:bocode:rts00217

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Related research

Keywords: VAR with sign-restrictions;

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