Wu-Xia Shadow Rate paper

[aubide]

Is there a RATS code to replicate the Wu and Xia (2014) "Measuring the Macroeconomic Impact of Monetary
Policy at the Zero Lower Bound" paper? Many thanks. They have posted a Matlab version but I would prefer to run it in RATS. Thanks a lot.

[TomDoan]

Where have they posted a Matlab version?

[aubide]

Here
http://faculty.chicagobooth.edu/jing.wu/index.html
under the paper
"Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound"
Angel

[aubide]

Hi Tom, did you have a chance to look into this?

[TomDoan]

Yes. The EKF isn't that complicated---the real problem is trying to pull all the data from out of ten different data files. If you want to make a single data file, I can look at that in more detail.