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st: variance decomposition


From   Koray <korayyalcintepe@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: variance decomposition
Date   Thu, 25 Aug 2011 11:03:25 +0100

Good morning,

I am using a model where I want to analyze the impact of oil price spikes on
macroeconomic indicators. I am using a VAR model which includes
cpi,unemployment,industrial production index and interest rate and I
consider that oil prices are exogenous. So the model is;

var   dlipi dlcpi dlunemp dltbill, exog(dlroil) lags(1 2 3)

I would like to add a variance decomposition table to my analysis where I
want to indicate the responses of variables to oil price impulses, but I am
having difficulties to structure it. I used the following command but the
table does not include the impact of oil prices on other variables.It only
shows the impulse-response among the other endogenous
variables(ipi,cpi,unemp,tbill)

irf set vardecomp
irf create vardecomp,replace
irf table fevd,noci

I am using Stata 11. What would be the best way to structure variance
decomposition table?

Regards,

Koray.

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