The RATS Software Forum

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,

za2015 wrote: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).

za2015 wrote: 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,

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

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.