Sims & Zha Econometrica 1999 Replication files

[TomDoan]

The attached zip file includes most of the analysis in Sims and Zha(1999), "Error Bands for Impulse Responses", Econometrica, vol 67, no. 5, pp 1113-1156. This includes calculation of error bands using Monte Carlo integration, bootstrapping and also includes IRF's for a structural VAR. The four main program files are:

• ymmodel.rpf. Program for the two variable Y-M model (Monte Carlo and bootstrapping)
• bqmodel.rpf. Program for the two variable B-Q model (Monte Carlo and bootstrapping)
• simsmodel.rpf. Analysis of the 6 variable structural VAR (parameters of model only)
• simsirf.rpf. MC analysis of the IRF for the 6 variable structural VAR

This uses several of the new procedures such as MCGraphIRF, MCVarDoDraws and BQDoDraws.

simszhaecm1999.zip

Zip with programs/data

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