MONTEVAR: RATS procedure to perform Monte Carlo Integration of VAR Impulse Response confidence bands

Statistical Software Components from Boston College Department of Economics

Abstract: This computes and graphs error bands for impulse response functions for a VAR using Monte Carlo simulation. This assumes the model is a symmetric VAR. This uses a Choleski factorization, though it can be modified fairly easily to do any just-identified factorization.

Language: RATS
Requires: RATS 7.00
Keywords: Error; bands; for; impulse; response; functions (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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