Helmut Luetkepohl Aleksei Netsunajev
"Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction Between U.S. Monetary Policy and the Stock Market"
The data is in Excel format. The ordering of the variables as well as time horizon is as described in the paper.
The related estimation code is provided in Matlab. Various classes and subprograms are used. The file MAIN_SVAR.m replicated the results for the standard SVAR model.
Requirements for running the code: Matlab, Optimization_Toolbox, Statistics_Toolbox. If parallel computations are used (uncomment yourself) the Parallel_Toolbox fis requred.
To get the main results for the models considered in the paper, open the MAIN.m file in Matlab and let it run. It will take a while to complete. Figures for impulse responses will appear.