Elder Serletis JMCB 2010

These are replication files for Elder and Serletis(2010). This is discussed in detail as part of the RATS e-course on ARCH/GARCH and Volatility Models. It estimates a VAR-GARCH-M model to study the effect of oil price uncertainty on GDP.

This has two programs, the first does the estimation, the second does (non-linear) impulse responses.

OILGDPGARCH.RPF

Analysis of GDP with oil prices. Note that at quarterly aggregation, the oil prices don't have particularly strong "GARCH" tendencies. (The variance isn't uniform, but that's largely because of U.S. wellhead price controls at the start of the sample).

OILGDPGARCHIRF.RPF

Analysis of GDP with oil prices. This does the calculation of impulse response functions with error bands. Note: through the MAXIMIZE instruction, this is identical to the oilgdpgarch.rpf program.