|Code Listing by Paolo Zagaglia|
This package computes and plots impulse responses and confidence intervals for a structural Vector Autoregression (VAR). The impulse responses can be obtained through four different implementations of the standard Choleski decomposition. A sample file is attached with the common example of a trivariate VAR including industrial production, inflation and a 3-month rate for the U.S. economy.
The probability of informed trading (PIN) denotes that probability that a counterparty in the trading process has superior information on the value of the asset exchanged. This is a key concept in empirical studies of market microstructure.
This routine uses bid and ask quotes sample intradaily at a uniform frequency to classify the implied origin of market trading activity. It computes the implied number of sell-initiated, buy-initiated trades, and trades with no discernible sign...
This package computes the solution coefficients for the optimal linear quadratic monetary policy problem under discretion using the algorithm proposed by Richard Dennis in his article:
"Optimal Policy in Rational Expectations Models: New...
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