Replication Examples for Iwata and Wu (2006)

[nacrointfin]

Dear Tom

Can the VAR with censored variable in Iwata and Wu (2006) 'Estimating monetary policy effects when interest rates are close to zero,'Journal of Monetary Economics 53, 1395–1408, be replicated?

Best,

Terence

[TomDoan]

Did you find program and data set for it?

I don't understand what they're doing. Equation (4) has an unobservable on the LHS, but they don't have any discussion of how they estimate the model given that they have a latent variable. They also are using the observable on the RHS rather than the latent variable, which seems odd as well. A VAR with a latent variable can be estimated relatively easily using Gibbs sampling (see for instance the Dueker(2005) replication), but they don't seem to be doing that here.

[nacrointfin]

Dear Tom:

Let me ask the authors. I will post the response if I get.

Best,

Terence