RATS programs to replicate Lanne-Lutkepohl JMCB 2008 structural VAR with volatility shifts
AbstractReplication file for Lanne and Lutkepohl(2008), "Identifying Monetary Policy Shocks via Changes in Volatility", JMCB, vol 40, no 6, 1131-1149. Demonstrates identification of a structural VAR using volatility regimes.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number RTZ00109.
Programming language: RATS
Requires: RATS 7.30
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Other versions of this item:
- Markku Lanne & Helmut Lütkepohl, 2008. "Identifying Monetary Policy Shocks via Changes in Volatility," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(6), pages 1131-1149, 09.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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