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RATS programs to replicate Sims and Zha(1999) "Error Bands for Impulse Responses"


  • Tom Doan

    () (Estima)


This zip file includes most of the analysis in Sims and Zha(1999), "Error Bands for Impulse Responses", Econometrica, vol 67, no. 5, pp 1113-1156. This includes calculation of error bands using Monte Carlo integration, bootstrapping and also includes IRF's for a structural VAR.

Suggested Citation

  • Tom Doan, "undated". "RATS programs to replicate Sims and Zha(1999) "Error Bands for Impulse Responses"," Statistical Software Components RTZ00145, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:rtz00145
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    VAR; bootrapping; Monte Carlo integration;


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