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Fo Kodjo Dzinyefa Alphonse AFLAGAH <firstname.lastname@example.org>
Thu, 6 Sep 2012 16:03:07 +0100 (BST)
Estimating long run output using Blanchard and Quah decomposition on a trivariate structural VAR.
I'm estimating potential output using a tri-variate structural VAR with long run restrictions a la Blanchard and Quah (1989). The SVAR includes real output, real exchange rate (RER) and inflation. The restrections are the following :
- RER and inflation do not have long run effect on output
- Inflation does not have a lon run effect on RER.
Following the posts on Statalist about replicating the charts of the Blanchard and Quah's article, espacially the code posted by Jorge Eduardo Pérez Pérez, I've tried to recover long run output by setting the RER and inflation shocks to zero.
My question is whether this is correct or not, and if that's not the case, how should I proceed?
Fo Kodjo Aflagah.
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