RATS programs to replicate Bjornland-Leitemo(2009) SVAR with short- and long-run restrictions

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Replication file for Bjørnland, Hilde C. and Kai Leitemo (2009), "Identifying the Interdependence between US Monetary Policy and the Stock Market". Journal of Monetary Economics, vol 56, pp 275-282. Demonstrates use of the SHORTANDLONG procedure on a model with five variables, including Monte Carlo integration of the impulse responses.

Language: RATS
Requires: RATS 8.00
Keywords: VAR; with; short-; and; long-run; restrictions (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.estima.com/procs_perl/bjornland_leitemo_jme_2009.zip (application/zip)

Related works:
Journal Article: Identifying the interdependence between US monetary policy and the stock market (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rtz00016

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().