Changing Structural Parameters in a VAR

[macro_man]

Dear Estima:

I am trying to do someting similar to Bernanke et al. (1997) in "Systematic Monetary Policy and the Effects of Oil Price Shocks." Specifically, I want to estimate a VAR for one period and then extract the equation that represent monetary policy and then use it an other estiamted VAR for another time period. The idea is to see how important systematic monetary policy is. Any thoughts?

Thanks.

[TomDoan]

This is from Sims(1998), "Role of interest rate policy in the generation and propagation of business cycles: what has changed since the '30s?," Conference Series ; [Proceedings], Federal Reserve Bank of Boston, issue Jun, pages 121-175, which replaces one of the equations in a VAR with the estimates from a different time period.

postwar.rpf

Program file

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simsfrb1998.rat

Data file

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