Nt1310 Unit 6 Journal

1517 Words7 Pages
RATS 8.0: Programs Replicating Paper Results rats 8.0 includes a number of example programs (and accompanying data files and procedures) for replicating results from some important econometric papers. These files are found in separate subdirectories for each paper, inside the “PaperResults” subdirectory of your main rats directory. Examples are provided for the following papers: Aruoba, Diebold and Scotti(2009), “Real-Time Measurement of Business Conditions,” Journal of Business and Economic Statistics, vol 27, no 4, 417-427. This is a large-scale state-space model with mixed frequency observables. Bai & Perron(2003), “Computation and analysis of multiple structural change models,” Journal of Applied Econometrics, vol. 18, no. 1, 1-22.…show more content…
83, pp. 727-731. Demonstrates the panel data procedures PANELFM and PANELDOLS. Perron and Wada (2009), “Let’s take a break: Trends and cycles in US real GDP”, Journal of Monetary Economics, vol. 56, 749-765. State space models. Pesaran, Shin and Smith (1999), “Pooled Mean Group Estimation of Dynamic Heterogeneous Panels”, JASA, vol. 94, no. 446, 621-634. Demonstrates the instruction SWEEP. Quah and Vahey (1995), “Measuring Core Inflation?”, Economic Journal, vol. 105, pp. 1130-44. Demonstrates use of the HISTORY instruction and the %QFACTOR function. Sims and Zha (1999), “Error Bands for Impulse Responses”, Econometrica, vol. 67, no. 5, 1113-1156. This includes calculation of error bands using Monte Carlo integration, bootstrapping and also includes IRF’s for a structural VAR. Sinclair (2009), “The Relationships between Permanent and Transitory Movements in U.S. Output and the Unemployment Rate,” Journal of Money, Credit and Banking, vol. 41(2-3), 529-542. State space models. Terasvirta (1994), “Specification, Estimation and Evaluation of Smooth Transition Autoregressive Models”, JASA, vol. 89, 208-218. Demonstrates the procedures STARTEST, YULELAGS, and LAGPOLYROOTS. Tsay (1998), “Testing and Modeling Multivariate Threshold Models”, JASA, vol. 93, no. 443, 1188-1202. Demonstrates use of RLS (recursive least squares) and SWEEP instructions. Tse, Y.K. (2000), “A Test for Constant Correlations in a Multivariate GARCH Model”, Journal of Econometrics, 98, 107-127. Implements Tse’s LM test for constant correlation in a multivariate GARCH model. Uhlig (2005), “What are the effects of monetary policy on output? Results from an agnostic identification procedure”, Journal of Monetary Economics, vol. 52, 381-419. Three programs replicating VAR identification of impulse responses with sign restrictions from Watson (1993), “Measures of Fit for Calibrated Models”,

More about Nt1310 Unit 6 Journal

Open Document