MONTEEXOGVAR.RPF example

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TomDoan
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Joined: Wed Nov 01, 2006 4:36 pm

MONTEEXOGVAR.RPF example

Unread post by TomDoan »

MONTEEXOGVAR.RPF is an example of Monte Carlo integration with a shock to an "exogenous" variable. The three variables in the VAR are (log) real GDP, investment and consumption. The exogenous variable is the 3 month T-Bill rate, which is included in the VAR in both current and lagged form.

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Last bumped by TomDoan on Mon Oct 07, 2024 9:41 am.
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