Energy Papers

[za2015]

Hi,

I am interested in replicating the following papers:

Another perspective on gasoline price responses to crude oil price changes. by Sajjadur Rahman, Energy Economic 2016
https://econpapers.repec.org/article/ee ... a10-18.htm

kilian and Park (2009): THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET
http://onlinelibrary.wiley.com/doi/10.1 ... 568.x/full

Thank you,

[TomDoan]

Hi,

I am interested in replicating the following papers:

Another perspective on gasoline price responses to crude oil price changes. by Sajjadur Rahman, Energy Economic 2016
https://econpapers.repec.org/article/ee ... a10-18.htm

That looks to be very similar to Elder and Serletis(2010).

kilian and Park (2009): THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET
http://onlinelibrary.wiley.com/doi/10.1 ... 568.x/full

Is there anything about that that isn't just a standard VAR? I think that's used as an example in the early chapters of Kilian and Lutkepohl,

[za2015]

Hi Tom,

"Another perspective on gasoline price responses to crude oil price changes" by Sajjadur Rahman, In computing the NIRFs he included the conditional variance in the model (GARCH -IN-MEAN model). It is not the case in Elder and Serletis paper where they used traditional IRFs.

Please advise

[TomDoan]

Elder and Serletis is very much a (S)VAR-GARCH-M model. But if you're looking for the code for Rahman's paper, I would contact the author.