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.

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replication_files_all.zip ZIP Popular
All the replication files. See readme.all.txt for details.
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readme.all.txt TXT Popular

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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