The RATS Software Forum

I used the penalty function approach code of Mountford and Uhlig (2009) in RATS for a paper. But the paper invited criticism following the comments of Arias et al (2014) and Baumeister and Hamilton (2014, 2015) that the inferences drawn based on the penalty function approach are wrong and misleading. Do you have the code of rubio-ramirez(2010) or arias, rubio-ramirez and waggoner (2014) that correct the anomalies of penalty function approach.

The "X" programs in the Mountford and Uhlig replication do the rejection method. The sequential rejection method is equivalent to the QR draws described in RRWZ.