Advanced Search
MyIDEAS: Login

RATS code for Business Cycles Statistics and their Standard Errors

Contents:

Author Info

  • Wouter Denhaan

    (London Business School)

  • Andrew T. Levin

Abstract

In this RATS program we calculate the standard set of business cycle statistics including ratios of standard deviations, autocorrelations and crosscorrelations. The user can choose from a variety of detrending methods such as (1) the Hodrick-Prescott filter, (2) the Baxter-King filter, and (3) the first difference filter. To calculate standard errors, the reader can choose between the VARHAC procedure proposed in Den Haan and Levin (1994), and the optimal bandwidth procedure from Newey and West (1994). "cycles.rat" is an example program. The program is very user friendly. The program has a "parameter" section and a "data" section. For most purposes, these are the only sections that the reader would ever want to change. "cycles.dat" is the data file that is being used in this example program.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://dge.repec.org/codes/denhaan/cycles/
File Function: program code
Download Restriction: none

Bibliographic Info

Software component provided by Quantitative Macroeconomics & Real Business Cycles in its series QM&RBC Codes with number 66.

as in new window
Size:
Programming language: RATS
Requires:
Date of creation: 1995
Date of revision:
Handle: RePEc:dge:qmrbcd:66

Contact details of provider:
Postal: P.O. Box 442, St. Louis, MO 63166
Fax: (314)444-8753
Web page: http://dge.repec.org/
More information through EDIRC

Related research

Keywords:

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:dge:qmrbcd:66. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christian Zimmermann).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.