Overview

This page provides links to technical reports and papers about RATS or that may be of interest to RATS users.

New Developments in VARs

Thomas A. Doan (April 2004)

This paper is taken from a talk on recent developments in the field of Vector Autoregressions presented by Tom Doan at the RATS User's Group meeting held in April of 2004 at Trinity College in Dublin, Ireland. The paper examines the following articles:

• Sims and Zha, “Error Bands for Impulse Responses,” Econometrica, September 1999
• Bernanke and Mihov, “Measuring Monetary Policy”, QJE, August 1998
• Faust, “The Robustness of Identified VAR Conclusions About Money”, Carnegie- Rochester Conference Series on Public Policy, December 1998
• Uhlig, “What Are the Effects of Monetary Policy on Output? Results from an Agnostic Identification Procedure,” Tilburg University discussion paper, 2000.

Using the links below, you can download the paper in PDF format, or a Zip file that includes the paper as well as some example programs, procedures, and data sets.

• New Developments in VAR Modeling (Paper in PDF format)
• New Developments in VAR Modeling Zip File (with PDF-format paper, programs, data)

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