Does anyone know if there are code for Rats for this paper from Jean Boivin? "Has U.S. Monetary Policy Changed? Evidence from Drifting Coefficients and Real-Time Data" I have built the some codes in Matlab but I am not sure if they are working well. Thank you for all your help.
Thomas
Drifting Coefficients with heteroskedasticity
Re: Drifting Coefficients with heteroskedasticity
Which part of it? The QLR statistic can be computed using @APBreakTest; it just has a different set of critical values when it's being used as a test against time-varying parameters. The time-varying Taylor rule itself can be estimated using DLM.
Re: Drifting Coefficients with heteroskedasticity
Hi Tom,
my matlab codes works well now since they give the same results as Boivin. But since I am switching to RATS for time series work, I was interested in knowing if anyone had codes on the Boivin paper. Thanks for all your help.
T
my matlab codes works well now since they give the same results as Boivin. But since I am switching to RATS for time series work, I was interested in knowing if anyone had codes on the Boivin paper. Thanks for all your help.
T