RATS programs to replicate Lanne-Lutkepohl JMCB 2008 structural VAR with volatility shifts
Replication file for Lanne and Lutkepohl(2008), "Identifying Monetary Policy Shocks via Changes in Volatility", JMCB, vol 40, no 6, 1131-1149. Demonstrates identification of a structural VAR using volatility regimes.
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