RATS programs to replicate Aruoba, Diebold and Scotti JBES 2009
AbstractReplication file for Aruoba, Diebold and Scotti(2009), "Real-Time Measurement of Business Conditions," Journal of Business and Economic Statistics, vol 27, no 4, 417-427. Instead of brute force with a huge state vector, this uses aggregator states to handle the lags of the indicator for the two flow variables. The authors have an update on the ADS website that describes this.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number RTZ00002.
Programming language: RATS
Requires: RATS 8.00
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Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
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Other versions of this item:
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
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