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RATS programs to replicate Aruoba, Diebold and Scotti JBES 2009

Author

Listed:
  • Tom Doan

    () (Estima)

Abstract

Replication file for Aruoba, Diebold and Scotti(2009), "Real-Time Measurement of Business Conditions," Journal of Business and Economic Statistics, vol 27, no 4, 417-427. Instead of brute force with a huge state vector, this uses aggregator states to handle the lags of the indicator for the two flow variables. The authors have an update on the ADS website that describes this.

Suggested Citation

  • Tom Doan, "undated". "RATS programs to replicate Aruoba, Diebold and Scotti JBES 2009," Statistical Software Components RTZ00002, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:rtz00002
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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    File URL: https://www.estima.com/procs_perl/adsjbes2009.zip
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    More about this item

    Keywords

    State-space models;

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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