I am reading the paper "Housing, consumption and monetary policy:
how different are the U.S. and the euro area?"
by Musso, Neri and Stracca (2011, Journal of Banking and Finance, vol. 35(11), pages 3019-3041, November).
In particular, I am interested in understanding how to replicate some results using their framework.
Having a look at their graphs I bet that they're using RATS, and I am tryng to figure how to implement their
Bayesian VAR in RATS 7.0.They even have a 14 variables specification
I focused on the instruction SPECIFY, section 10.9 of the manual, but I could not solve the puzzle of getting such tight confidence bands
with such a high size of the system.
Could you please have a look and suggest some possible way to develop a code for sign restrictions
using this model and the instruction specify?
In the meanwhile, I will go on and try to figure a solution, but I doubt I will be able to do without your help.
Thanks in advance,