Bernanke, etc. (2005) FAVAR model
Posted: Wed Apr 13, 2011 11:24 amThis is a replication file for Bernanke, Boivin & Eliasz (2005), "Measuring the Effects of Monetary Policy: A Factor-augmented Vector Autoregressive (FAVAR) Approach," The Quarterly Journal of Economics, vol. 120(1), pages 387-422. Because of the sheer size of the problem, it requires some features added with RATS version 7.3 (in particular, the LIMIT option on DLM). We also did some "hot-spot" analysis based upon this to speed up the Kalman filter for models like this with huge numbers of observables. (Most state-space models have at most four or five; this has more than 100). Without those changes, it takes an intolerably long time (>2 hours) on versions of RATS prior to 7.3.
Program file:
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Program file:
bbegibbs.rpf- (13.53 KiB) Downloaded 395 times
Data file:
- bbedata.rat
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