Faust(1998) VAR Shock isolation
Posted: Fri Jun 01, 2012 12:27 pmThis is a replication of Faust(1998), "The Robustness of Identified VAR Conclusions About Money", Carnegie-Rochester Conference Series on Public Policy, vol 49, 207-244, the six variable model. This is aimed at bounding the amount of the variance in GDP that can be explained by a monetary policy shock, by maximizing the FEVD share of a shock across all shocks that satisfy a set of sign constraints that could reasonably be produced by a (contractionary) monetary policy shock.
This uses a different method for solving the maximization problem than is proposed by Faust. It uses the existing constrained optimization capabilities of RATS rather than a specialized eigenvalue solution.
This uses a different method for solving the maximization problem than is proposed by Faust. It uses the existing constrained optimization capabilities of RATS rather than a specialized eigenvalue solution.
faust.rpf- Program file
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- lsznew.txt
- Data file
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