rats 8.0 includes a number of example programs (and accompanying information 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 hobby papers: Aruoba, Diebold and Scotti(2009), Real-Time Measurement of condescension Conditions, Journal of Business and frugal Statistics, vol 27, no 4, 417-427. This is a large-scale state-space model with merge frequency observables. Bai & Perron(2003), Computation and analysis of multiple structural alteration models, Journal of Applied Econometrics, vol. 18, no. 1, 1-22. Baillie, Bollerslev and Mikkelson (1996), Fractionally Integrated Generalized Autoregressive conditional Heteroskedasticity, Journal of Econometrics, vol. 74, 3-30. Demonstrates the DIFFERENCE instruction with the FRACTION option. Balke and Fomby(1997), Threshold Cointegration, world-wide Economic Review, vol 38, no 3, 627-45. Bernanke, Boivin & Eliasz (2005), quantity the set up of Monetary insurance policy: A Factor-augmented Vector Autoregressive (FAVAR) Approach, Quarterly Journal of Economics, vol. 120, no 1, 387-422.
Bernanke & Mihov (1998), Measuring Monetary Policy, QJE, vol. 113, no 3, 869-902 (monthly data calculations). This includes maximum likelihood estimation of structural VARs, Markov switching estimate of an SVAR and four-card monte Carlo integration of a just identified SVAR. Blanchard and Quah (1989), The Dynamic Effects of Aggregate Demand and Supply Disturbances, AER, vol. 79, no. 4, 655-673. Demonstrates several topics in VARs: historical decomposition, recovery of structural shocks, long haul restrictions. Burnside(1994), Hansen-Jagannathan Bounds as Classical Tests of Asset-Pricing Models, Journal of Business & Economic Statistics, vol. 12, no 1, 57-79. Campbell and Ammer (1993), What Moves the Stock and...If you want to get a skilful essay, order it on our website: Orderessay
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