statistically identified structural var model with potentially skewed and fat-tailed errors (replication data)

These files include every bit of code in order to replicate the results in "Statistically identified structural VAR model with potentially skewed and fat-tailed errors". All the code has been tested on a Linux machine.

Data and Resources

replication_files_all.zip ZIP Popular
All the replication files. See readme.all.txt for details.
Downloads: 88
explore
- More information
- Download
readme.all.txt TXT Popular

Downloads: 80
explore
- Preview
- Download

download all

Suggested Citation

Anttonen, Jetro; Lanne, Markku; Luoto, Jani (2023): Statistically identified structural VAR model with potentially skewed and fat-tailed errors (replication data). Version: 1. Journal of Applied Econometrics. Dataset. http://dx.doi.org/10.15456/jae.2023266.1100100526