VAR Volatitity Shifts

[AhmedSahlool]

Hi,

I'am estimating a structural VAR model, and I would like to pay attention to possible structural shifts that may have occurred, due to structurak break in the economy. These shifts may have arisen in two different ways: volatility shifts (i.e., heteroscedasticity, de- fined as changes in the variance of the structural shocks) and changes in the dynamic responses of the dependent variables to these shocks (i.e., regression parameter instability). Volatility-Shift Tests.

The Paper of Ahmed et al. followed the same way, I would like to know if there is Rats code that have already tackled this.

[TomDoan]

See the Lanne and Lutkepohl example: http://www.estima.com/forum/viewtopic.php?f=8&t=750