RATS programs to replicate Sims and Zha(1999) "Error Bands for Impulse Responses"
AbstractThis 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.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number RTZ00145.
Programming language: RATS
Requires: RATS 8.00
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