Waggoner and Zha (1999)

[IRJ]

Is there RATS code for Waggoner and Zha (1999) "“Conditional forecasts in dynamic multivariate models.” The Review of Economics and Statistics 81: 639–651? The authors' MATLAB code and data can be found here: http://www.tzha.net/code

[TomDoan]

Draw the covariance matrix and lag coefficients using standard methods (whatever's appropriate under the assumptions), then use @CONDITION with the SIMULATE option to generate draws from the constrained density.