Notice: On March 31, it was **announced** that Statalist is moving from an email list to a **forum**. The old list will shut down on April 23, and its replacement, **statalist.org** is already up and running.

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

From |
Safis-Moustafa Chatzouz <shajjouz@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: SVAR Blanchard and Perotti approach - Impulse response function |

Date |
Mon, 02 Jul 2012 03:45:40 +0100 |

Hi,

my variables are gdp, gov and tax (quarterly data) Var specification is: X(t)=A0+A(L)X(t-1)+dummy+trend + U

var tax gov gdp, lags(1/4) exog( trend dummy)

predict e, residuals (for example I name the residuals as: u_t, u_g, u_y) The identification as the authors say is as follows u_t=a1*u_y + a2*e_g + e_t (1) u_g=b1*u_y + b2*e_t +e_g (2) u_y=c1*u_t + c2*u_g +e_y (3)

T=u_t - 2.08*u_y (4) G= u_g (5)

ivregress 2sls u_y (u_t u_g = T G)

matrix A = matrix B = svar tax gov gdp, lags (1/4) exog (dummy trend) aeg(A) beq(B)

Looking forward for your reply. Kind regards Safis * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

- Prev by Date:
**RE: st: How to plot ORs and CI - results of a logistic regression** - Next by Date:
**st: Problems with Margins command** - Previous by thread:
**st: How to plot ORs and CI - results of a logistic regression** - Next by thread:
**st: Problems with Margins command** - Index(es):