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RATS programs to replicate Mountford and Uhlig JAE 2009 sign-constrained VAR

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language

RATS

Abstract

Replication file for Mountford and Uhlig (2009), "What are the Effects of Fiscal Policy Shocks?", Journal of Applied Econometrics. Demonstrates analysis of impulse responses with sign constraints, and sign + zero constraints.

Suggested Citation

  • Tom Doan, "undated". "RATS programs to replicate Mountford and Uhlig JAE 2009 sign-constrained VAR," Statistical Software Components RTZ00121, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:rtz00121
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
    as

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    File URL: https://www.estima.com/procs_perl/mountforduhligjae2009.zip
    Download Restriction: no
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    More about this item

    Keywords

    VAR with sign restrictions; RATS;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General
    • E62 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Fiscal Policy; Modern Monetary Theory
    • H20 - Public Economics - - Taxation, Subsidies, and Revenue - - - General
    • H50 - Public Economics - - National Government Expenditures and Related Policies - - - General
    • H60 - Public Economics - - National Budget, Deficit, and Debt - - - General

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