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