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Tom Doan

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

RePEc Biblio mentions

As found on the RePEc Biblio, the curated bibliography of Economics:
  1. Thomas Doan & Robert B. Litterman & Christopher A. Sims, 1983. "Forecasting and Conditional Projection Using Realistic Prior Distributions," NBER Working Papers 1202, National Bureau of Economic Research, Inc.

    Mentioned in:

    1. > Econometrics > Time Series Models > VAR Models
    2. > Econometrics > Time Series Models > VAR Models > Bayesian Vector autoregressions (BVARs)

Working papers

  1. Thomas Doan & Robert B. Litterman & Christopher A. Sims, 1983. "Forecasting and Conditional Projection Using Realistic Prior Distributions," NBER Working Papers 1202, National Bureau of Economic Research, Inc.

    Cited by:

    1. John Geweke, 1992. "Priors for macroeconomic time series and their application," Discussion Paper / Institute for Empirical Macroeconomics 64, Federal Reserve Bank of Minneapolis.
    2. Michal Franta & Jozef Barunik & Roman Horvath & Katerina Smidkova, 2011. "Are Bayesian Fan Charts Useful for Central Banks? Uncertainty, Forecasting, and Financial Stability Stress Tests," Working Papers 2011/10, Czech National Bank, Research and Statistics Department.
    3. Lars Peter Hansen & Ellen R. McGrattan & Thomas J. Sargent, 1994. "Mechanics of forming and estimating dynamic linear economies," Staff Report 182, Federal Reserve Bank of Minneapolis.
    4. Gomez, Nicolas & Guerrero, Victor M., 2006. "Restricted forecasting with VAR models: An analysis of a test for joint compatibility between restrictions and forecasts," International Journal of Forecasting, Elsevier, vol. 22(4), pages 751-770.
    5. Andrea Bonilla, 2014. "External vulnerabilities and economic integration. Is the Union of South American Nations a promising project ?," Working Papers halshs-00945044, HAL.
    6. Kim, Chang-Jin & Morley, James C. & Nelson, Charles R., 2001. "Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices?," Journal of Empirical Finance, Elsevier, vol. 8(4), pages 403-426, September.
    7. Демешев Борис Борисович & Малаховская Оксана Анатольевна, 2016. "Макроэкономическое Прогнозирование С Помощью Bvar Литтермана," Higher School of Economics Economic Journal Экономический журнал Высшей школы экономики, CyberLeninka;Федеральное государственное автономное образовательное учреждение высшего образования «Национальный исследовательский университет «Высшая школа экономики», vol. 20(4), pages 691-710.
    8. Anton Muscatelli & Patrizio Tirelli & Carmine Trecroci, 2001. "Monetary and Fiscal Policy Interactions over the Cycle: Some Empirical Evidence," Working Papers 2002_13, Business School - Economics, University of Glasgow, revised Oct 2002.
    9. Shahzad Ahmad & Farooq Pasha, 2015. "A Pragmatic Model for Monetary Policy Analysis I: The Case of Pakistan," SBP Research Bulletin, State Bank of Pakistan, Research Department, vol. 11, pages 1-42.
    10. Carlo A. Favero, 2007. "The Econometrics of Monetary Policy: an Overview," Working Papers 329, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    11. David E. Runkle & Peter C. Young, 1989. "Recursive estimation and modelling of nonstationary and nonlinear time series," Discussion Paper / Institute for Empirical Macroeconomics 7, Federal Reserve Bank of Minneapolis.
    12. Berger, Helge & Österholm, Pär, 2008. "Does money matter for U.S. inflation? Evidence from Bayesian VARs," Discussion Papers 2008/9, Free University Berlin, School of Business & Economics.
    13. Wolters, Maik Hendrik, 2012. "Evaluating point and density forecasts of DSGE models," MPRA Paper 36147, University Library of Munich, Germany.
    14. Richard H. Clarida & Benjamin M. Friedman, 1986. "The Behavior of U.S. Short-Term Interest Rates Since 1979-10," Cowles Foundation Discussion Papers 695, Cowles Foundation for Research in Economics, Yale University.
    15. Giannone, Domenico & D’Agostino, Antonello & Gambetti, Luca, 2009. "Macroeconomic Forecasting and Structural Change," CEPR Discussion Papers 7542, C.E.P.R. Discussion Papers.
    16. Frank Schorfheide & Marco Del Negro, 2007. "Forming Priors for DSGE Models (and How It Affects the Assessment of Nominal Rigidities)," 2007 Meeting Papers 283, Society for Economic Dynamics.
    17. Salim Chishti & M. Aynul Hasan, 1993. "What Determines the Behaviour of Real Exchange Rate in Pakistan?," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 32(4), pages 1015-1029.
    18. Paul Crompton & Yanrui Wu, 2004. "Energy Consumption in China: Past Trends and Future Directions," Economics Discussion / Working Papers 04-22, The University of Western Australia, Department of Economics.
    19. Marco Del Negro & Frank Schorfheide, 2003. "Take your model bowling: forecasting with general equilibrium models," Economic Review, Federal Reserve Bank of Atlanta, vol. 88(Q4), pages 35-50.
    20. Karlsson, Sune, 2012. "Forecasting with Bayesian Vector Autoregressions," Working Papers 2012:12, Örebro University, School of Business.
    21. Andrew Binning, 2022. "An Efficient Application of the Extended Path Algorithm in Matlab with Examples," Treasury Working Paper Series 22/02, New Zealand Treasury.
    22. Patrick Jacq & Eric Jondeau & Frank Sédillot, 1993. "Les politiques monétaires au sein du SME," Économie et Prévision, Programme National Persée, vol. 109(3), pages 57-74.
    23. Balcilar, Mehmet & Hammoudeh, Shawkat & Toparli, Elif Akay, 2018. "On the risk spillover across the oil market, stock market, and the oil related CDS sectors: A volatility impulse response approach," Energy Economics, Elsevier, vol. 74(C), pages 813-827.
    24. Giacomini, Raffaella & Ragusa, Giuseppe, 2011. "Incorporating theoretical restrictions into forecasting by projection methods," CEPR Discussion Papers 8604, C.E.P.R. Discussion Papers.
    25. Francis, Brian M. & Moseley, Leo & Iyare, Sunday Osaretin, 2007. "Energy consumption and projected growth in selected Caribbean countries," Energy Economics, Elsevier, vol. 29(6), pages 1224-1232, November.
    26. Ekaterina Pirozhkova & Nicola Viegi, 2024. "The bank lending channel of monetary policy transmission in South Africa," Working Papers 11072, South African Reserve Bank.
    27. Agiakloglou, Christos & Gkouvakis, Michail, 2015. "Causal interrelations among market fundamentals: Evidence from the European Telecommunications sector," The Quarterly Review of Economics and Finance, Elsevier, vol. 55(C), pages 150-159.
    28. Hwee Kwan Chow & Keen Meng Choy, 2004. "Forecasting the Global Electronics Cycle with Leading Indicators: A VAR Approach," Working Papers 16-2004, Singapore Management University, School of Economics.
    29. Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian vector autoregressions," LSE Research Online Documents on Economics 87393, London School of Economics and Political Science, LSE Library.
    30. Ribeiro Ramos, Francisco Fernando, 2003. "Forecasts of market shares from VAR and BVAR models: a comparison of their accuracy," International Journal of Forecasting, Elsevier, vol. 19(1), pages 95-110.
    31. Joshua C.C. Chan & Liana Jacobi & Dan Zhu, 2018. "How Sensitive Are VAR Forecasts to Prior Hyperparameters? An Automated Sensitivity Analysis," CAMA Working Papers 2018-25, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    32. Carmine Trecroci & Matilde Vassalli, 2006. "Monetary policy regime shifts: new evidence from time-varying interest rate rules," Working Papers 0602, University of Brescia, Department of Economics.
    33. Chan, Joshua C.C. & Eisenstat, Eric & Koop, Gary, 2014. "Large Bayesian VARMAs," SIRE Discussion Papers 2015-06, Scottish Institute for Research in Economics (SIRE).
    34. Miranda-Agrippino, Silvia & Hacıoglu Hoke, Sinem, 2018. "When creativity strikes: news shocks and business cycle fluctuations," LSE Research Online Documents on Economics 90381, London School of Economics and Political Science, LSE Library.
    35. Milani, Fabio, 2017. "Learning about the interdependence between the macroeconomy and the stock market," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 223-242.
    36. David E. Runkle, 1989. "The U.S. economy in 1990 and 1991: continued expansion likely," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 13(Fall), pages 19-26.
    37. Koop, Gary & Korobilis, Dimitris, 2012. "Large time-varying parameter VARs," MPRA Paper 38591, University Library of Munich, Germany.
    38. Sinem Hacioglu Hoke, 2019. "Macroeconomic effects of political risk shocks," Bank of England working papers 841, Bank of England.
    39. Marcellino, Massimiliano & Kapetanios, George & Carriero, Andrea, 2009. "Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models," CEPR Discussion Papers 7446, C.E.P.R. Discussion Papers.
    40. Marek Jarocinski & Albert Marcet, 2015. "Priors about Observables in Vector Autoregressions," Working Papers 684, Barcelona School of Economics.
    41. Pablo A Guerron-Quintana & James M Nason, 2012. "Bayesian Estimation of DSGE Models," CAMA Working Papers 2012-10, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    42. Mirriam Chitalu Chama-Chiliba & Rangan Gupta & Nonophile Nkambule & Naomi Tlotlego, 2011. "Forecasting Key Macroeconomic Variables of the South African Economy Using Bayesian Variable Selection," Working Papers 201132, University of Pretoria, Department of Economics.
    43. Muellbauer, John & Aron, Janine, 2002. "Interest Rate Effects on Output: Evidence from a GDP Forecasting Model for South Africa," CEPR Discussion Papers 3595, C.E.P.R. Discussion Papers.
    44. Kurt Graden Lunsford, 2020. "Recessions and the Trend in the US Unemployment Rate," Economic Commentary, Federal Reserve Bank of Cleveland, vol. 2021(01), pages 1-8, February.
    45. Takeshi Kimura & Hiroshi Kobayashi & Jun Muranaga & Hiroshi Ugai, 2003. "The effect of the increase in the monetary base of Japan's economy at zero interest rates: an empirical analysis," BIS Papers chapters, in: Bank for International Settlements (ed.), Monetary policy in a changing environment, volume 19, pages 276-312, Bank for International Settlements.
    46. Chris Bloor & Troy Matheson, 2010. "Analysing shock transmission in a data-rich environment: a large BVAR for New Zealand," Empirical Economics, Springer, vol. 39(2), pages 537-558, October.
    47. William A. Barnett & Unja Chae & John W. Keating, 2006. "The discounted economic stock of money with VAR forecasting," Computing in Economics and Finance 2006 51, Society for Computational Economics.
    48. Sanvi Avouyi-Dovi & Eric Jondeau, 1999. "Interest Rate Transmission and Volatility Transmission along the Yield Curve," Working papers 57, Banque de France.
    49. Gary Koop, 2010. "Forecasting with Medium and Large Bayesian VARs," Working Paper series 43_10, Rimini Centre for Economic Analysis.
    50. Andrea Bonilla Bolanos, 2014. "External Vulnerabilities And Economic Integration: Is The Union Of South American Nations A Promising Project?," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 39(2), pages 97-131, June.
    51. William T. Gavin & Athena T. Theodorou, 2004. "A common model approach to macroeconomics: using panel data to reduce sampling error," Working Papers 2003-045, Federal Reserve Bank of St. Louis.
    52. Kenny, Geoff & Meyler, Aidan & Quinn, Terry, 1998. "Bayesian VAR Models for Forecasting Irish Inflation," Research Technical Papers 4/RT/98, Central Bank of Ireland.
    53. Rangan Gupta & Monique Reid, 2012. "Macroeconomic Surprises and Stock Returns in South Africa," Working Papers 05/2012, Stellenbosch University, Department of Economics.
    54. Alvarez, Luis J. & Delrieu, Juan C. & Jareño, Javier, 1997. "Restricted forecasts and economic target monitoring: An application to the Spanish Consumer Price Index," Journal of Policy Modeling, Elsevier, vol. 19(3), pages 333-349, June.
    55. Muhammad Nadim Hanif & Muhammad Jahanzeb Malik, 2015. "Evaluating the Performance of Inflation Forecasting Models of Pakistan," SBP Research Bulletin, State Bank of Pakistan, Research Department, vol. 11, pages 43-78.
    56. Summers, Peter M., 2001. "Forecasting Australia's economic performance during the Asian crisis," International Journal of Forecasting, Elsevier, vol. 17(3), pages 499-515.
    57. Pablo A. Acosta & Emmanuel K. K. Lartey & Federico S. Mandelman, 2007. "Remittances and the Dutch disease," FRB Atlanta Working Paper 2007-08, Federal Reserve Bank of Atlanta.
    58. Antolín-Díaz, Juan & Drechsel, Thomas & Petrella, Ivan, 2024. "Advances in nowcasting economic activity: The role of heterogeneous dynamics and fat tails," Journal of Econometrics, Elsevier, vol. 238(2).
    59. Domenico Giannone & Michèle Lenza & Daphné Momferatu & Luca Onorante, 2010. "Short-term inflation projections: a Bayesian vector autoregressive approach," Working Papers ECARES ECARES 2010-011, ULB -- Universite Libre de Bruxelles.
    60. Alessia Paccagnini, 2012. "Comparing Hybrid DSGE Models," Working Papers 228, University of Milano-Bicocca, Department of Economics, revised Dec 2012.
    61. Hany Guirguis & Christos Giannikos & Randy Anderson, 2004. "The US Housing Market: Asset Pricing Forecasts Using Time Varying Coefficients," The Journal of Real Estate Finance and Economics, Springer, vol. 30(1), pages 33-53, October.
    62. Chudik , A. & Pesaran, M.H., 2007. "Infinite Dimensional VARs and Factor Models," Cambridge Working Papers in Economics 0757, Faculty of Economics, University of Cambridge.
    63. Quinn, Terry & Kenny, Geoff & Meyler, Aidan, 1999. "Inflation Analysis: An Overview," Research Technical Papers 1/RT/99, Central Bank of Ireland.
    64. Berger, Helge & Österholm, Pär, 2007. "Does Money Growth Granger-Cause Inflation in the Euro Area? Evidence from Out-of-Sample Forecasts Using Bayesian VARs," Working Paper Series 2007:30, Uppsala University, Department of Economics.
    65. Marco Del Negro, 2003. "Discussion of Cogley and Sargent's \"Drifts and volatilities: Monetary policies and outcomes in the post WWII U.S.\"," FRB Atlanta Working Paper 2003-26, Federal Reserve Bank of Atlanta.
    66. Ballabriga, Fernando & Sebastian, Miguel & Valles, Javier, 1999. "European asymmetries," Journal of International Economics, Elsevier, vol. 48(2), pages 233-253, August.
    67. Tuomas A. Peltonen & Ricardo M. Sousa & Isabel S. Vansteenkiste, 2009. "Asset prices, Credit and Investment in Emerging Markets," NIPE Working Papers 18/2009, NIPE - Universidade do Minho.
    68. Fabio Canova & Matteo Ciccarelli, 2000. "Forecasting And Turning Point Predictions In A Bayesian Panel Var Model," Working Papers. Serie AD 2000-05, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    69. Neri, Stefano, 2023. "Long-term inflation expectations and monetary policy in the euro area before the pandemic," European Economic Review, Elsevier, vol. 154(C).
    70. Christopher A. Sims, 1992. "A Nine Variable Probabilistic Macroeconomic Forecasting Model," Cowles Foundation Discussion Papers 1034, Cowles Foundation for Research in Economics, Yale University.
    71. Ghent, Andra, 2006. "Comparing Models of Macroeconomic Fluctuations: How Big Are the Differences?," MPRA Paper 180, University Library of Munich, Germany.
    72. Benjamin M. Friedman, 1984. "Lessons from the 1979-1982 Monetary Policy Experiment," NBER Working Papers 1272, National Bureau of Economic Research, Inc.
    73. Alessandra Del Boca & Michele Fratianni & Franco Spinelli & Carmine Trecroci, 2010. "Macroeconomic instability and the Phillips curve in Italy," Working Papers 1013, University of Brescia, Department of Economics.
    74. Berger, Helge & Österholm, Pär, 2008. "Does money still matter for U.S. output?," Discussion Papers 2008/7, Free University Berlin, School of Business & Economics.
    75. Fabio Canova & Takatoshi Ito, 1988. "On Time-Series Properties of Time-Varying Risk Premium in the Yen/Dollar Exchange Market," NBER Working Papers 2678, National Bureau of Economic Research, Inc.
    76. Valentin Jouvanceau, 2016. "The Portfolio Rebalancing Channel of Quantitative Easing," Working Papers 1625, Groupe d'Analyse et de Théorie Economique Lyon St-Etienne (GATE Lyon St-Etienne), Université de Lyon.
    77. Silvia Miranda-Agrippino & Giovanni Ricco, 2021. "Bayesian local projections," Working Papers hal-03373574, HAL.
    78. Maged Shawky Sourial, 2002. "The Future of the Stock Market Channel In Egypt," Finance 0204002, University Library of Munich, Germany.
    79. Chiu, Ching-Wai (Jeremy) & Mumtaz, Haroon & Pintér, Gábor, 2017. "Forecasting with VAR models: Fat tails and stochastic volatility," International Journal of Forecasting, Elsevier, vol. 33(4), pages 1124-1143.
    80. Ali Dib & Mohamed Gammoudi & Kevin Moran, 2005. "Forecasting Canadian Time Series with the New-Keynesian Model," Cahiers de recherche 0527, CIRPEE.
    81. Dorfman, Jeffrey H. & Havenner, Arthur M., 1992. "A Bayesian approach to state space multivariate time series modeling," Journal of Econometrics, Elsevier, vol. 52(3), pages 315-346, June.
    82. Eric Leeper, 2003. "An "Inflation Reports" Report," NBER Working Papers 10089, National Bureau of Economic Research, Inc.
    83. Rangan Gupta & Alain Kabundi & Stephen M. Miller & Josine Uwilingiye, 2011. "Using Large Data Sets to Forecast Sectoral Employment," Working papers 2011-02, University of Connecticut, Department of Economics, revised Aug 2012.
    84. Chow, Hwee Kwan & Choy, Keen Meng, 2006. "Forecasting the global electronics cycle with leading indicators: A Bayesian VAR approach," International Journal of Forecasting, Elsevier, vol. 22(2), pages 301-315.
    85. Francis X. Diebold & Canlin Li, 2003. "Forecasting the Term Structure of Government Bond Yields," NBER Working Papers 10048, National Bureau of Economic Research, Inc.
    86. Julius Stakenas, 2018. "Slicing up inflation: analysis and forecasting of Lithuanian inflation components," Bank of Lithuania Working Paper Series 56, Bank of Lithuania.
    87. Domenico Giannone & Troy Matheson, 2006. "A new core inflation indicator for New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2006/02, Reserve Bank of New Zealand.
    88. Carlo Altavilla & Matteo Ciccarelli, 2009. "The Effects of Monetary Policy on Unemployment Dynamics under Model Uncertainty - Evidence from the US and the Euro Area," CESifo Working Paper Series 2575, CESifo.
    89. Ritschl, Albrecht & Uebele, Martin & Sarferaz, Samad, 2008. "The U.S. Business Cycle, 1867-1995: A Dynamic Factor Approach," CEPR Discussion Papers 7069, C.E.P.R. Discussion Papers.
    90. DeJong, David N. & Ingram, Beth F. & Whiteman, Charles H., 2000. "A Bayesian approach to dynamic macroeconomics," Journal of Econometrics, Elsevier, vol. 98(2), pages 203-223, October.
    91. Michael Berlemann & Forrest Nelson, 2005. "Forecasting Inflation via Experimental Stock Markets Some Results from Pilot Markets," ifo Working Paper Series 10, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    92. Alessia Paccagnini, 2017. "Forecasting with FAVAR: macroeconomic versus financial factors," NBP Working Papers 256, Narodowy Bank Polski.
    93. John C. Robertson & Ellis W. Tallman, 1999. "Prior parameter uncertainty: Some implications for forecasting and policy analysis with VAR models," FRB Atlanta Working Paper 99-13, Federal Reserve Bank of Atlanta.
    94. Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio E., 2012. "Prior selection for vector autoregressions," Working Paper Series 1494, European Central Bank.
    95. Carlo A. Favero, 2007. "Model Evaluation in Macroeconometrics: from early empirical macroeconomic models to DSGE models," Working Papers 327, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    96. Uhlig, Harald, 1999. "What are the Effects of Monetary Policy on Output? Results from an Agnostic Identification Procedure," CEPR Discussion Papers 2137, C.E.P.R. Discussion Papers.
    97. Eric M. Leeper & Tao Zha, 2002. "Modest Policy Interventions," NBER Working Papers 9192, National Bureau of Economic Research, Inc.
    98. S. Boragan Aruoba & Frank Schorfheide, 2009. "Sticky prices versus monetary frictions: an estimation of policy trade-offs," Working Papers 09-8, Federal Reserve Bank of Philadelphia.
    99. Fabio Canova & Matteo Ciccarelli & Eva Ortega, 2009. "Do institutional changes affect business cycles? Evidence from Europe," Economics Working Papers 1158, Department of Economics and Business, Universitat Pompeu Fabra, revised Apr 2012.
    100. Gary Koop & Simon M. Potter & Rodney W. Strachan, 2005. "Reexamining the consumption-wealth relationship: the role of model uncertainty," Staff Reports 202, Federal Reserve Bank of New York.
    101. Theodore M. Crone & Michael P. McLaughlin, 1999. "A Bayesian VAR forecasting model for the Philadelphia Metropolitan Area," Working Papers 99-7, Federal Reserve Bank of Philadelphia.
    102. Marco Del Negro & Frank Schorfheide, 2004. "A DSGE-VAR for the Euro Area," Computing in Economics and Finance 2004 79, Society for Computational Economics.
    103. John Geweke & Joel Horowitz & M. Hashem Pesaran, 2006. "Econometrics: A Bird’s Eye View," CESifo Working Paper Series 1870, CESifo.
    104. Ford, Stephen A., 1986. "A Beginner'S Guide To Vector Autoregression," Staff Papers 13527, University of Minnesota, Department of Applied Economics.
    105. Peter C.B. Phillips & Steven N. Durlauf, 1985. "Multiple Time Series Regression with Integrated Processes," Cowles Foundation Discussion Papers 768, Cowles Foundation for Research in Economics, Yale University.
    106. Roy H. Webb, 1985. "Toward more accurate macroeconomic forecasts," Economic Review, Federal Reserve Bank of Richmond, vol. 71(Jul), pages 3-11.
    107. Daniel F. Waggoner & Tao Zha, 1998. "Conditional forecasts in dynamic multivariate models," FRB Atlanta Working Paper 98-22, Federal Reserve Bank of Atlanta.
    108. Marcet, Albert & Jarociński, Marek, 2010. "Autoregressions in small samples, priors about observables and initial conditions," Working Paper Series 1263, European Central Bank.
    109. Shovon Sengupta & Sunny Kumar Singh & Tanujit Chakraborty, 2025. "Macroeconomic Forecasting for the G7 countries under Uncertainty Shocks," Papers 2510.23347, arXiv.org.
    110. Marco Del Negro & Frank Schorfheide & Frank Smets & Raf Wouters, 2004. "On the fit and forecasting performance of New Keynesian models," FRB Atlanta Working Paper 2004-37, Federal Reserve Bank of Atlanta.
    111. Annalisa Marini & Steve McCorriston, 2017. "Propagation of Commodity Market Shocks," Discussion Papers 1708, University of Exeter, Department of Economics.
    112. Dimitris Korobilis, 2014. "Data-based priors for vector autoregressions with drifting coefficients," Working Papers 2014_04, Business School - Economics, University of Glasgow.
    113. Österholm, Pär, 2006. "Incorporating Judgement in Fan Charts," Working Paper Series 2006:30, Uppsala University, Department of Economics.
    114. Ms. Adina Popescu & Ms. Alina Carare, 2011. "Monetary Policy and Risk-Premium Shocks in Hungary: Results from a Large Bayesian VAR," IMF Working Papers 2011/259, International Monetary Fund.
    115. Antonio M. Conti & Andrea Nobili & Federico M. Signoretti, 2018. "Bank capital constraints, lending supply and economic activity," Temi di discussione (Economic working papers) 1199, Bank of Italy, Economic Research and International Relations Area.
    116. Massimo Guidolin, 2011. "Markov Switching Models in Empirical Finance," Working Papers 415, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    117. Anita Ghatak, 1998. "Vector autoregression modelling and forecasting growth of South Korea," Journal of Applied Statistics, Taylor & Francis Journals, vol. 25(5), pages 579-592, June.
    118. Marco Del Negro & Frank Schorfheide, 2012. "DSGE model-based forecasting," Staff Reports 554, Federal Reserve Bank of New York.
    119. Cristina Fuentes-Albero & Leonardo Melosi, 2011. "Methods for Computing Marginal Data Densities from the Gibbs Output," Departmental Working Papers 201131, Rutgers University, Department of Economics.
    120. Silvia Miranda-Agrippino & Hélène Rey, 2015. "US Monetary Policy and the Global Financial Cycle," NBER Working Papers 21722, National Bureau of Economic Research, Inc.
    121. D.S. Poskitt, 2009. "Vector Autoregresive Moving Average Identification for Macroeconomic Modeling: Algorithms and Theory," Monash Econometrics and Business Statistics Working Papers 12/09, Monash University, Department of Econometrics and Business Statistics.
    122. Marta Bańbura, 2008. "Large Bayesian VARs," 2008 Meeting Papers 334, Society for Economic Dynamics.
    123. BAUWENS, Luc & KOROBILIS, Dimitris, 2011. "Bayesian methods," LIDAM Discussion Papers CORE 2011061, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    124. Oliver Hülsewig & Johannes Mayr & Stéphane Sorbe, 2007. "Assessing the Forecast Properties of the CESifo World Economic Climate Indicator: Evidence for the Euro Area," ifo Working Paper Series 46, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    125. Caesar Lack, 2006. "Forecasting Swiss inflation using VAR models," Economic Studies 2006-02, Swiss National Bank.
    126. Christiane Baumeister & James D. Hamilton, 2017. "Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks," CESifo Working Paper Series 6835, CESifo.
    127. Yongsung Chang & Joao Gomes & Frank Schorfheide, 2002. "Learning by Doing as a Propagation Mechanism," Macroeconomics 0204002, University Library of Munich, Germany.
    128. Maddalena Cavicchioli, 2013. "�Determining the Number of Regimes in Markov-Switching VAR and VMA Models�," Working Papers 2013:03, Department of Economics, University of Venice "Ca' Foscari".
    129. De Mol, Christine & Giannone, Domenico & Reichlin, Lucrezia, 2006. "Forecasting using a large number of predictors: is Bayesian regression a valid alternative to principal components?," Discussion Paper Series 1: Economic Studies 2006,32, Deutsche Bundesbank.
    130. Peter C.B. Phillips, 1985. "Asymptotic Expansions in Nonstationary Vector Autoregressions," Cowles Foundation Discussion Papers 765, Cowles Foundation for Research in Economics, Yale University.
    131. Rangan Gupta & Marius Jurgilas & Alain Kabundi & Stephen M. Miller, 2009. "Monetary Policy and Housing Sector Dynamics in a Large-Scale Bayesian Vector Autoregressive Model," Working papers 2009-19, University of Connecticut, Department of Economics.
    132. Chang, Yongsung & Schorfheide, Frank & Doh, Taeyoung, 2005. "Non-stationary Hours in a DSGE Model," CEPR Discussion Papers 5232, C.E.P.R. Discussion Papers.
    133. John C. Robertson & Ellis W. Tallman, 1999. "Vector autoregressions: forecasting and reality," Economic Review, Federal Reserve Bank of Atlanta, vol. 84(Q1), pages 4-18.
    134. Marcellino, Massimiliano & Kapetanios, George & Carriero, Andrea, 2008. "Forecasting Exchange Rates with a Large Bayesian VAR," CEPR Discussion Papers 7008, C.E.P.R. Discussion Papers.
    135. Bekiros Stelios & Paccagnini Alessia, 2015. "Estimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(2), pages 107-136, April.
    136. Ali Dib & Kevin Moran, 2005. "Forecasting with the New-Keynesian Model: An Experiment with Canadian Data," Computing in Economics and Finance 2005 235, Society for Computational Economics.
    137. Carrera, Cesar & Ledesma, Alan, 2015. "Proyección de la inflación agregada con modelos de vectores autorregresivos bayesianos," Working Papers 2015-003, Banco Central de Reserva del Perú.
    138. Peter Kugler & Thomas J. Jordan, 2004. "Structural Vector Autoregressions and the Analysis of Monetary Policy Interventions: The Swiss Case," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 140(I), pages 67-87, March.
    139. Sonsoles Castillo & Fernando C. Ballabriga, 2003. "BBVA-ARIES: a forecasting and simulation model for EMU," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(5), pages 411-426.
    140. Caldeira, João F. & Moura, Guilherme V. & Santos, André A.P., 2016. "Predicting the yield curve using forecast combinations," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 79-98.
    141. Ellis W. Tallman & Saeed Zaman, 2018. "Combining Survey Long-Run Forecasts and Nowcasts with BVAR Forecasts Using Relative Entropy," Working Papers (Old Series) 1809, Federal Reserve Bank of Cleveland.
    142. Llosa, Gonzalo & Tuesta, Vicente & Vega, Marco, 2006. "Un modelo de proyección BVAR para la inflación peruana," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 13.
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    289. Albrecht Ritschl & Ulrich Woitek, 2000. "Did Monetary Forces Cause the Great Depression? A Bayesian VAR Analysis for the U.S. Economy," Working Papers 2000_07, Business School - Economics, University of Glasgow.
    290. Roma, Moreno & Skudelny, Frauke & Benalal, Nicholai & Diaz del Hoyo, Juan Luis & Landau, Bettina, 2004. "To aggregate or not to aggregate? Euro area inflation forecasting," Working Paper Series 374, European Central Bank.
    291. Knut Are Aastveit & Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2014. "Have standard VARs remained stable since the crisis?," Working Paper 2014/13, Norges Bank.
    292. Branch, William A. & Evans, George W., 2006. "A simple recursive forecasting model," Economics Letters, Elsevier, vol. 91(2), pages 158-166, May.
    293. Rünstler, Gerhard & Sédillot, Franck, 2003. "Short-term estimates of euro area real GDP by means of monthly data," Working Paper Series 276, European Central Bank.
    294. Andrea Nobili, 2005. "Forecasting Output Growth And Inflation In The Euro Area: Are Financial Spreads Useful?," Temi di discussione (Economic working papers) 544, Bank of Italy, Economic Research and International Relations Area.
    295. Lee E. Ohanian & Marco Del Negro & Tao Zha, 2005. "Monetary policy and learning," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 257-261, April.
    296. Mário Jorge Mendonça & Luis Alberto Medrano & Adolfo Sachsida, 2009. "Avaliando a Condição da Política Fiscal no Brasil," Discussion Papers 1409, Instituto de Pesquisa Econômica Aplicada - IPEA.
    297. Carlo Altavilla & Matteo Ciccarelli, 2008. "Inflation models, optimal monetary policy and uncertain unemployment dynamics: Evidence from the US and the euro area," Discussion Papers 8_2008, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy.
    298. Peter C.B. Phillips, 1992. "Bayes Methods for Trending Multiple Time Series with an Empirical Application to the US Economy," Cowles Foundation Discussion Papers 1025, Cowles Foundation for Research in Economics, Yale University.
    299. Cimadomo, Jacopo & Callegari, Giovanni & Ricco, Giovanni, 2016. "Signals from the government: policy disagreement and the transmission of fiscal shocks," Working Paper Series 1964, European Central Bank.
    300. Rangan Gupta & Stephen M. Miller & Dylan van Wyk, 2010. "Financial Market Liberalization, Monetary Policy, and Housing Price Dynamics," Working papers 2010-06, University of Connecticut, Department of Economics.
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    304. Antolín-Díaz, Juan & Petrella, Ivan & Rubio-Ramírez, Juan F., 2021. "Structural scenario analysis with SVARs," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 798-815.
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    308. Helmut Luetkepohl, 2007. "Econometric Analysis with Vector Autoregressive Models," Economics Working Papers ECO2007/11, European University Institute.
    309. Mr. Troy D Matheson, 2011. "New Indicators for Tracking Growth in Real Time," IMF Working Papers 2011/043, International Monetary Fund.
    310. Anirvan Banerji & Pami Dua & Stephen M. Miller, 2002. "Performance Evaluation of the New Connecticut Leading Employment Index Using Lead Profiles and BVAR Models," Working papers 2002-34, University of Connecticut, Department of Economics, revised Jun 2005.
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    313. Balcilar, Mehmet & Gupta, Rangan & Shah, Zahra B., 2011. "An in-sample and out-of-sample empirical investigation of the nonlinearity in house prices of South Africa," Economic Modelling, Elsevier, vol. 28(3), pages 891-899, May.
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Software components

  1. Tom Doan, 2025. "ERSTEST: RATS procedure to perform Elliott-Rothenberg-Stock unit root tests," Statistical Software Components RTS00066, Boston College Department of Economics.

    Cited by:

  2. Tom Doan, 2025. "RATS programs to replicate Quah and Vahey core inflation estimation," Statistical Software Components RTZ00139, Boston College Department of Economics.

    Cited by:

  3. Tom Doan, 2025. "RATS programs to replicate Den Haan JME(2000) correlation of comovements," Statistical Software Components RTZ00042, Boston College Department of Economics.

    Cited by:

  4. Tom Doan, 2025. "AGFRACTD: RATS procedure to compute Andrews-Guggenberger estimate of fractional difference," Statistical Software Components RTS00005, Boston College Department of Economics.

    Cited by:

  5. Tom Doan, 2025. "REGWHITENNTEST: RATS procedure to perform White neural network test on regression," Statistical Software Components RTS00183, Boston College Department of Economics.

    Cited by:

  6. Tom Doan, 2025. "RATS programs to replicate Burnside's JBES 1994 paper on asset pricing," Statistical Software Components RTZ00027, Boston College Department of Economics.

    Cited by:

  7. Tom Doan, 2025. "BKFILTER: RATS procedure to implement band pass filter using Baxter-King method," Statistical Software Components RTS00026, Boston College Department of Economics.

    Cited by:

  8. Tom Doan, 2025. "GMAUTOFIT: RATS procedure to perform automated ARIMA model selection (seasonal models)," Statistical Software Components RTS00078, Boston College Department of Economics.

    Cited by:

  9. Tom Doan, 2025. "RATS programs to replicate Baillie, Bollerslev, Mikkelson FIGARCH results," Statistical Software Components RTZ00009, Boston College Department of Economics.

    Cited by:

  10. Tom Doan, 2025. "RATS program to demonstrate Shiller smoothness prior for distributed lag," Statistical Software Components RTZ00144, Boston College Department of Economics.

    Cited by:

  11. Tom Doan, 2025. "RATS programs to replicate Perron-Wada state space model," Statistical Software Components RTZ00133, Boston College Department of Economics.

    Cited by:

  12. Tom Doan, 2025. "TAR: RATS procedure to estimate a threshold autoregression, tests for threshold effect," Statistical Software Components RTS00209, Boston College Department of Economics.

    Cited by:

  13. Tom Doan, 2025. "RATS programs to replicate Enders/Granger JBES(1998)on threshold unit roots," Statistical Software Components RTZ00054, Boston College Department of Economics.

    Cited by:

  14. Tom Doan, 2025. "DSGECONTROL: RATS procedure to compute state space model adjustments for optimal control," Statistical Software Components RTS00056, Boston College Department of Economics.

    Cited by:

  15. Tom Doan, 2025. "RATS programs to replicate Diebold,Rudebusch,Aruoba 2006 factor model," Statistical Software Components RTZ00047, Boston College Department of Economics.

    Cited by:

  16. Tom Doan, 2025. "RATS programs to replicate results from Gregory and Hansen(1996) JOE article," Statistical Software Components RTZ00081, Boston College Department of Economics.

    Cited by:

  17. Tom Doan, 2025. "RATS programs to replicate CKLS(1992) estimation of interest rate models," Statistical Software Components RTZ00035, Boston College Department of Economics.

    Cited by:

  18. Tom Doan, 2025. "RATS programs to replicate Hansen's example of threshold break in panel data," Statistical Software Components RTZ00088, Boston College Department of Economics.

    Cited by:

  19. Tom Doan, 2025. "RATS programs to replicate Wright's Alternative Variance Ratio test results," Statistical Software Components RTZ00168, Boston College Department of Economics.

    Cited by:

  20. Tom Doan, 2025. "RSSTATISTIC: RATS procedure to compute R/S Statistic (classical or Lo's modified)," Statistical Software Components RTS00191, Boston College Department of Economics.

    Cited by:

  21. Tom Doan, 2025. "RATS programs to replicate Aruoba, Diebold and Scotti JBES 2009," Statistical Software Components RTZ00002, Boston College Department of Economics.

    Cited by:

  22. Tom Doan, 2025. "IPSHIN: RATS procedure to implement Im, Pesaran and Shin panel unit root test," Statistical Software Components RTS00098, Boston College Department of Economics.

    Cited by:

  23. Tom Doan, 2025. "RATS programs to replicate Blanchard and Quah AER 1989," Statistical Software Components RTZ00017, Boston College Department of Economics.

    Cited by:

  24. Tom Doan, 2025. "RATS programs to replicate Ozbek and Ozlale state space model with time-varying coefficients," Statistical Software Components RTZ00128, Boston College Department of Economics.

    Cited by:

  25. Tom Doan, 2025. "PPUNIT: RATS procedure to perform Phillips-Perron Unit Root test," Statistical Software Components RTS00160, Boston College Department of Economics.

    Cited by:

  26. Tom Doan, 2025. "PERRONRODRIGUEZ: RATS procedure to perform Perron-Rodriguez unit root test allowing for break at unknown date," Statistical Software Components RTS00156, Boston College Department of Economics.

    Cited by:

  27. Tom Doan, 2025. "RATS program to demonstrate bootstrapping with cointegration," Statistical Software Components RTZ00021, Boston College Department of Economics.

    Cited by:

  28. Tom Doan, 2025. "LSUNIT: RATS procedure to implement Lee-Strazicich unit root tests with one or more structural breaks," Statistical Software Components RTS00112, Boston College Department of Economics.

    Cited by:

  29. Tom Doan, 2025. "REGHBREAK: RATS procedure to perform structural break test with bootstrapped p-values," Statistical Software Components RTS00176, Boston College Department of Economics.

    Cited by:

  30. Tom Doan, 2025. "BDSTEST: RATS procedure to compute Brock-Decher-Scheinkman test for i.i.d," Statistical Software Components RTS00016, Boston College Department of Economics.

    Cited by:

  31. Tom Doan, 2025. "PANELTHRESH: RATS procedure to analyze up to two threshold breaks in a fixed effects panel model," Statistical Software Components RTS00152, Boston College Department of Economics.

    Cited by:

  32. Tom Doan, 2025. "APBREAKTEST: RATS procedure to implement Andrews-Ploberger Structural Break Test," Statistical Software Components RTS00006, Boston College Department of Economics.

    Cited by:

  33. Tom Doan, 2025. "RATS programs to replicate Filardo JBES 1994 paper with time-varying Markov switching," Statistical Software Components RTZ00059, Boston College Department of Economics.

    Cited by:

  34. Tom Doan, 2025. "VRATIO: RATS procedure to implement variance ratio unit root test procedure," Statistical Software Components RTS00231, Boston College Department of Economics.

    Cited by:

  35. Tom Doan, 2025. "RATS programs to replicate structural break test with Hansen's fixed regressor bootstrap," Statistical Software Components RTZ00089, Boston College Department of Economics.

    Cited by:

  36. Tom Doan, 2025. "EBA: RATS procedure to perform Extreme Bounds Analysis," Statistical Software Components RTS00059, Boston College Department of Economics.

    Cited by:

  37. Tom Doan, 2025. "UHLIGFUNCS: RATS procedure to compute criteria for Uhlig sign-restricted shocks," Statistical Software Components RTS00217, Boston College Department of Economics.

    Cited by:

  38. Tom Doan, 2025. "RATS program to solve Erceg-Henderson-Levin model," Statistical Software Components RTZ00051, Boston College Department of Economics.

    Cited by:

  39. Tom Doan, 2025. "LOGMVSKEWT: RATS procedure to compute function for log density of multivariate skew-t distribution," Statistical Software Components RTS00107, Boston College Department of Economics.

    Cited by:

  40. Tom Doan, 2025. "LPUNIT: RATS procedure to implement Lumsdaine-Papell unit root test with structural breaks," Statistical Software Components RTS00110, Boston College Department of Economics.

    Cited by:

  41. Tom Doan, 2025. "RATS programs to replicate Papell and Prodan one and two break unit root tests," Statistical Software Components RTZ00130, Boston College Department of Economics.

    Cited by:

  42. Tom Doan, 2025. "RATS programs to replicate Uhlig's VAR identification technique," Statistical Software Components RTZ00163, Boston College Department of Economics.

    Cited by:

  43. Tom Doan, 2025. "RATS programs to replicate Willinger, Taqqu, Teverovsky(1999)," Statistical Software Components RTZ00167, Boston College Department of Economics.

    Cited by:

  44. Tom Doan, 2025. "RATS programs to replicate Hansen's threshold estimation and testing results," Statistical Software Components RTZ00091, Boston College Department of Economics.

    Cited by:

  45. Tom Doan, 2025. "RATS programs to replicate Fabiani-Mestre 2004 NAIRU model results," Statistical Software Components RTZ00057, Boston College Department of Economics.

    Cited by:

  46. Tom Doan, 2025. "RATS programs to replicate Sinclair(2009) bivariate state-space model," Statistical Software Components RTZ00151, Boston College Department of Economics.

    Cited by:

  47. Tom Doan, 2025. "RATS programs to replicate Gonzalo and Granger JBES 1995 paper," Statistical Software Components RTZ00074, Boston College Department of Economics.

    Cited by:

  48. Tom Doan, 2025. "RATS programs to replicate Morley-Nelson-Zivot state space decomposition," Statistical Software Components RTZ00115, Boston College Department of Economics.

    Cited by:

  49. Tom Doan, 2025. "BAIPERRON: RATS procedure to perform Bai-Perron Test for Multiple Structural Changes," Statistical Software Components RTS00013, Boston College Department of Economics.

    Cited by:

  50. Tom Doan, 2025. "GREGORYHANSEN: RATS procedure to implement Gregory-Hansen test for Cointegration with breaks," Statistical Software Components RTS00082, Boston College Department of Economics.

    Cited by:

  51. Tom Doan, 2025. "TSECCTEST: RATS procedure to perform Tse test for constant correlation in MV-GARCH model," Statistical Software Components RTS00214, Boston College Department of Economics.

    Cited by:

  52. Tom Doan, 2025. "RATS programs to replicate King, Plosser, Stock, Watson AER 1991 results," Statistical Software Components RTZ00107, Boston College Department of Economics.

    Cited by:

  53. Tom Doan, 2025. "RATS programs to replicate Campbell and Ammer's JOF 1993 paper," Statistical Software Components RTZ00029, Boston College Department of Economics.

    Cited by:

  54. Tom Doan, 2025. "LSDVC: RATS procedure to estimate a dynamic FE model with correction for bias," Statistical Software Components RTS00111, Boston College Department of Economics.

    Cited by:

  55. Tom Doan, 2025. "RATS program to demonstrate Markov Switching ARCH," Statistical Software Components RTZ00157, Boston College Department of Economics.

    Cited by:

  56. Tom Doan, 2025. "RATS programs to replicate Dennis Macroeconomic Dynamics 2007 optimal control," Statistical Software Components RTZ00043, Boston College Department of Economics.

    Cited by:

  57. Tom Doan, 2025. "HTUNIT: RATS procedure to implement Harris-Tzavalis unit root test for panel data," Statistical Software Components RTS00092, Boston College Department of Economics.

    Cited by:

  58. Tom Doan, 2025. "RATS programs to replicate Ireland's JEDC 2004 estimation of DSGE model," Statistical Software Components RTZ00104, Boston College Department of Economics.

    Cited by:

  59. Tom Doan, 2025. "RATS programs to replicate Michael-Nobay-Peel ESTAR models," Statistical Software Components RTZ00113, Boston College Department of Economics.

    Cited by:

  60. Tom Doan, 2025. "RATS programs to replicate Dueker(2005) JBES dynamic probit model," Statistical Software Components RTZ00049, Boston College Department of Economics.

    Cited by:

  61. Tom Doan, 2025. "PANELFM: RATS procedure to perform panel data group mean FMOLS," Statistical Software Components RTS00151, Boston College Department of Economics.

    Cited by:

  62. Tom Doan, 2025. "ZIVOT: RATS procedure to perform Zivot-Andrews Unit Root Test," Statistical Software Components RTS00236, Boston College Department of Economics.

    Cited by:

  63. Tom Doan, 2025. "RATS program to demonstrate multivariate GARCH using 2-stage DCC," Statistical Software Components RTZ00068, Boston College Department of Economics.

    Cited by:

  64. Tom Doan, 2025. "DMARIANO: RATS procedure to compute Diebold-Mariano Forecast Comparison Test," Statistical Software Components RTS00055, Boston College Department of Economics.

    Cited by:

  65. Tom Doan, 2025. "RATS program to solve Lubik-Schorfheide JME 2007 DSGE model," Statistical Software Components RTZ00111, Boston College Department of Economics.

    Cited by:

  66. Tom Doan, 2025. "BAYESTST: RATS procedure to perform Bayesian Unit Root test," Statistical Software Components RTS00014, Boston College Department of Economics.

    Cited by:

  67. Tom Doan, 2025. "RATS programs to replicate Hansen/Seo paper on threshold cointegration," Statistical Software Components RTZ00092, Boston College Department of Economics.

    Cited by:

  68. Tom Doan, 2025. "BNDECOMP: RATS procedure to perform Beveridge-Nelson decomposition," Statistical Software Components RTS00028, Boston College Department of Economics.

    Cited by:

  69. Tom Doan, 2025. "APGRADIENTTEST: RATS procedure to perform Andrews-Ploberger Structural Break Test for GARCH/Maximum Likelihood," Statistical Software Components RTS00007, Boston College Department of Economics.

    Cited by:

  70. Tom Doan, 2025. "FM: RATS procedure to estimate cointegrating vectors using Fully Modified Least Squares," Statistical Software Components RTS00069, Boston College Department of Economics.

    Cited by:

  71. Tom Doan, 2025. "HADRI: RATS procedure to implement Hadri test for unit roots in panel data," Statistical Software Components RTS00084, Boston College Department of Economics.

    Cited by:

  72. Tom Doan, 2025. "RATS programs to replicate Tse's constant correlation GARCH test results," Statistical Software Components RTZ00161, Boston College Department of Economics.

    Cited by:

  73. Tom Doan, 2025. "CHOWLIN: RATS procedure to distribute a series to a higher frequency using related series," Statistical Software Components RTS00036, Boston College Department of Economics.

    Cited by:

  74. Tom Doan, 2025. "CHOWDENNING: RATS procedure to perform Chow-Denning multiple variance ratio test," Statistical Software Components RTS00035, Boston College Department of Economics.

    Cited by:

  75. Tom Doan, 2025. "RATS programs to replicate Gray's 1996 Regime Switching GARCH paper," Statistical Software Components RTZ00080, Boston College Department of Economics.

    Cited by:

  76. Tom Doan, 2025. "MULTIPLEBREAKS: RATS procedure to perform multiple structural change analysis," Statistical Software Components RTS00138, Boston College Department of Economics.

    Cited by:

  77. Tom Doan, 2025. "MVBNDECOMP: RATS procedure to compute a multivariate Beveridge-Nelson decomposition via VAR's," Statistical Software Components RTS00140, Boston College Department of Economics.

    Cited by:

  78. Tom Doan, 2025. "RATS programs to replicate Faust and Leeper JBES 1997 paper," Statistical Software Components RTZ00058, Boston College Department of Economics.

    Cited by:

  79. Tom Doan, 2025. "PANELDOLS: RATS procedure to perform panel data group mean DOLS," Statistical Software Components RTS00150, Boston College Department of Economics.

    Cited by:

  80. Tom Doan, 2025. "RATS programs to replicate Diebold and Yilmaz EJ 2009 spillover calculations," Statistical Software Components RTZ00044, Boston College Department of Economics.

    Cited by:

  81. Tom Doan, 2025. "RATS programs to replicate Balke-Fomby threshold cointegration," Statistical Software Components RTZ00010, Boston College Department of Economics.
    • Balke, Nathan S & Fomby, Thomas B, 1997. "Threshold Cointegration," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(3), pages 627-645, August.

    Cited by:

  82. Tom Doan, 2025. "PHILLIPSHANNAN: RATS procedure to compute Phillips-Hannan Efficient estimator for multivariate regressions," Statistical Software Components RTS00158, Boston College Department of Economics.

    Cited by:

  83. Tom Doan, 2025. "THRESHTEST: RATS procedure to perform Hansen's Test for Threshold Break," Statistical Software Components RTS00210, Boston College Department of Economics.

    Cited by:

  84. Tom Doan, 2025. "SWAMY: RATS procedure to compute a GLS matrix weighted estimator for a panel data set," Statistical Software Components RTS00206, Boston College Department of Economics.

    Cited by:

  85. Tom Doan, 2025. "REGWUTEST: RATS procedure to perform Wu (or Durbin-Wu-Hausman) specification test on regression," Statistical Software Components RTS00185, Boston College Department of Economics.

    Cited by:

  86. Tom Doan, 2025. "RATS programs to replicate Lanne-Lutkepohl JMCB 2008 structural VAR with volatility shifts," Statistical Software Components RTZ00109, Boston College Department of Economics.

    Cited by:

  87. Tom Doan, 2025. "RATS programs to replicate Hansen's GARCH models with time-varying t-densities," Statistical Software Components RTZ00086, Boston College Department of Economics.

    Cited by:

  88. Tom Doan, 2025. "RATS program to estimate term structure with cubic splines," Statistical Software Components RTZ00019, Boston College Department of Economics.

    Cited by:

  89. Tom Doan, 2025. "RATS programs to estimate Hamilton-Susmel Markov Switching ARCH model," Statistical Software Components RTZ00083, Boston College Department of Economics.

    Cited by:

  90. Tom Doan, 2025. "SWDOLS: RATS procedure to estimate cointegrating vectors using dynamic OLS," Statistical Software Components RTS00207, Boston College Department of Economics.

    Cited by:

  91. Tom Doan, 2025. "BAING: RATS procedure to estimate factors in a factor model using Bai-Ng formulas," Statistical Software Components RTS00012, Boston College Department of Economics.

    Cited by:

  92. Tom Doan, 2025. "RATS programs to replicate examples of Bai-Perron procedure," Statistical Software Components RTZ00008, Boston College Department of Economics.

    Cited by:

  93. Tom Doan, 2025. "RATS programs to estimate structural VAR-GARCH-M model," Statistical Software Components RTZ00052, Boston College Department of Economics.

    Cited by:

  94. Tom Doan, 2025. "ENDERSIKLOS: RATS procedure to perform Enders-Siklos test for cointegration with threshold effect," Statistical Software Components RTS00064, Boston College Department of Economics.

    Cited by:

  95. Tom Doan, 2025. "OLSHODRICK: RATS procedure to compute Hodrick standard errors," Statistical Software Components RTS00147, Boston College Department of Economics.

    Cited by:

  96. Tom Doan, 2025. "STABTEST: RATS procedure to perform Hansen's stability test for OLS," Statistical Software Components RTS00199, Boston College Department of Economics.

    Cited by:

  97. Tom Doan, 2025. "RATS programs to replicate Mark-Sul(2003) panel DOLS," Statistical Software Components RTZ00112, Boston College Department of Economics.

    Cited by:

  98. Tom Doan, 2025. "DISAGGREGATE: RATS procedure to implement general disaggregation (interpolation/distribution) procedure," Statistical Software Components RTS00050, Boston College Department of Economics.

    Cited by:

  99. Tom Doan, 2025. "RATS program to estimate observable index model from Sargent-Sims(1977)," Statistical Software Components RTZ00126, Boston College Department of Economics.

    Cited by:

  100. Tom Doan, 2025. "RATS programs to replicate Bjornland-Leitemo(2009) SVAR with short- and long-run restrictions," Statistical Software Components RTZ00016, Boston College Department of Economics.

    Cited by:

  101. Tom Doan, 2025. "RATS programs to replicate Jacquier, Polson, Rossi (1994) stochastic volatility," Statistical Software Components RTZ00105, Boston College Department of Economics.

    Cited by:

  102. Tom Doan, 2025. "RATS programs to replicate Enders-Siklos(2001) JBES paper on threshold cointegration," Statistical Software Components RTZ00053, Boston College Department of Economics.

    Cited by:

  103. Tom Doan, 2025. "CUSUMTESTS: RATS procedure to compute and display CUSUM and CUSUMQ tests," Statistical Software Components RTS00045, Boston College Department of Economics.

    Cited by:

  104. Tom Doan, 2025. "BQDODRAWS: RATS procedure to implement Monte Carlo draws from a VAR with Blanchard-Quah factorization," Statistical Software Components RTS00030, Boston College Department of Economics.

    Cited by:

  105. Tom Doan, 2025. "GLSDETREND: RATS procedure to perform local to unity GLS detrending," Statistical Software Components RTS00077, Boston College Department of Economics.

    Cited by:

  106. Tom Doan, 2025. "RATS programs to replicate Sims and Zha(1999) "Error Bands for Impulse Responses"," Statistical Software Components RTZ00145, Boston College Department of Economics.

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  107. Tom Doan, 2025. "RATS programs to replicate Pedroni PPP tests on panel data," Statistical Software Components RTZ00132, Boston College Department of Economics.

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  108. Tom Doan, 2025. "RATS programs to replicate Gali's AEA 1999 VAR results," Statistical Software Components RTZ00062, Boston College Department of Economics.

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  109. Tom Doan, 2025. "REGRESET: RATS procedure to perform Ramsey RESET test on regression," Statistical Software Components RTS00181, Boston College Department of Economics.

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  110. Tom Doan, 2025. "RATS programs to replicate Mountford and Uhlig JAE 2009 sign-constrained VAR," Statistical Software Components RTZ00121, Boston College Department of Economics.

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  111. Tom Doan, 2025. "CFFILTER: RATS procedure to perform band pass filter using Christiano-Fitzgerald method," Statistical Software Components RTS00034, Boston College Department of Economics.
    • Lawrence J. Christiano & Terry J. Fitzgerald, 2003. "The Band Pass Filter," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(2), pages 435-465, May.

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  112. Tom Doan, 2025. "RATS programs to replicate Hansen's examples of Andrews-Ploberger test," Statistical Software Components RTZ00087, Boston College Department of Economics.

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  113. Tom Doan, 2025. "RATS programs to replicate Dueker(1997) Markov switching GARCH models," Statistical Software Components RTZ00048, Boston College Department of Economics.

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  114. Tom Doan, 2025. "KPSS: RATS procedure to perform KPSS (Kwiatowski, Phillips, Schmidt, and Shin) stationarity test," Statistical Software Components RTS00100, Boston College Department of Economics.

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    Sorry, no citations of software components recorded.

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