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What are the effects of monetary policy on output? Results from an agnostic identification procedure

  • Uhlig, Harald

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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Article provided by Elsevier in its journal Journal of Monetary Economics.

Volume (Year): 52 (2005)
Issue (Month): 2 (March)
Pages: 381-419

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Handle: RePEc:eee:moneco:v:52:y:2005:i:2:p:381-419
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505566

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  31. Thomas Doan & Robert B. Litterman & Christopher A. Sims, 1983. "Forecasting and Conditional Projection Using Realistic Prior Distributions," NBER Working Papers 1202, National Bureau of Economic Research, Inc.
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