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Drifting Coefficients with heteroskedasticity
Posted: Tue Oct 26, 2010 11:58 pm
by thomas16
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
Re: Drifting Coefficients with heteroskedasticity
Posted: Thu Oct 28, 2010 10:28 am
by TomDoan
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
Posted: Thu Oct 28, 2010 2:45 pm
by thomas16
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