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LAUBACH_WILLIAMS_RESTAT2003: RATS program to replicate Laubach-Williams multivariate state-space model with regressors

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language

Abstract

Replication file for Laubach and Williams(2003), "Measuring the Natural Rate of Interest", Review of Economics and Statistics, vol. 85, no 4, 1063-1070. Estimates several state-space models with multiple observables with a combination of regression equations and latent variables.

Suggested Citation

  • Tom Doan, 2025. "LAUBACH_WILLIAMS_RESTAT2003: RATS program to replicate Laubach-Williams multivariate state-space model with regressors," Statistical Software Components RTZ00214, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:rtz00214
    Note: RPF and SRC files are plain text. See https://estima.com/ratsfiletypes.shtml
    as

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    File URL: https://estima.com/procedures/laubach_williams_restat2003.zip
    Download Restriction: no
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    Keywords

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    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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