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STOCKWATSONJASA1998: RATS program to replicate Stock and Watson Median Unbiased Estimation of Drift Variance

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  • Tom Doan

    (Estima)

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Abstract

Replication file for Stock and Watson(1998), "Median Unbiased Estimation of Coefficient Variance in a Time-Varying Parameter Model," JASA, vol 93, 349-358.

Suggested Citation

  • Tom Doan, 2026. "STOCKWATSONJASA1998: RATS program to replicate Stock and Watson Median Unbiased Estimation of Drift Variance," Statistical Software Components RTJ00071, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:rtj00071
    Note: An RPRJ is a specialized zip file including one or more program files and data files. See https://estima.com/ratsfiletypes.shtml
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    File URL: https://estima.com/procedures/StockWatsonJASA1998.rprj
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