Uhlig JME 2005 Sign-Restricted IRF's for VAR

[TomDoan]

This is a set of replication files for Uhlig(2005), "What are the effects of monetary policy on output? Results from an agnostic identification procedure", Journal of Monetary Economics, vol 52, no 2, 381-419. This extracts a monetary policy shock from a six-variable VAR based upon sign-restrictions on the responses of the variables. It uses two different approaches: a rejection method of drawing shocks then rejecting those that fail to meet the sign restrictions, and a penalty function approach which severely penalizes responses which have the wrong sign. Other than the uhlig1 program, all of these first draw VAR coefficients using standard methods before analyzing the shocks.

We've added two often requested calculations to those done in the paper: uhlig2 with shocks computes a range of historical shocks based upon the weights on the standard residuals, and uhlig2 with history does the historical decomposition of the effects of the drawn shock.

uhlig1.rpf

Rejection method - applied to OLS estimates

(3.21 KiB) Downloaded 101 times

uhlig2.rpf

Rejection method with draws for VAR coefficients. Impulse responses and FEVD.

(4.67 KiB) Downloaded 94 times

uhlig2 with shocks.rpf

Same as uhlig2.rpf but computes the shocks themselves

(5.03 KiB) Downloaded 71 times

uhlig2 with history.rpf

Same as uhlig2.rpf but does historical decomposition

(7.8 KiB) Downloaded 77 times

uhlig3.rpf

Penalty function method

(4.21 KiB) Downloaded 63 times

uhligdata.xls

Data file

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