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st: Blanchard & Quah decomposition


From   "Ángela Fajardo Moreno" <aafajardom@unal.edu.co>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: Blanchard & Quah decomposition
Date   Sat, 22 Jun 2013 09:29:55 -0500

Hi users,

I need to get the 7, 9 and 10 figures of the Blanchard-Quah paper "The Dynamic Effects of Aggregate Demand and Supply Disturbances". I found the next programmation in the stata archive about how to get the Figure 8 of the paper (Output fluctuations due to demand). Do someone know how to modified this programmation to get those figures? I really appreciate any help from you.

use "${dir}\datos\bqdata.dta"
tsset date

gen loggnp=log(gnp)
gen loggd=log(gd87)
gen logrgnp=loggnp-loggd+log(100)
gen dlogrgnp=100*d.logrgnp

* Extract separate means from the GNP growth series. Save the fitted
values for* rebuilding the data later.

gen d1=(date<=tq(1973q4))
gen d2=(date>tq(1973q4))

reg dlogrgnp d1 d2, nocons
predict gdpadjust, resid
predict means_from_gnp

* gen gdpadjust=dlogrgnp
* Remove a linear trend from unemployment
gen trend=_n
reg lhmur trend
predict uradjust, resid
predict trend_from_ur

matrix c=(.,0\.,.)
svar gdpadjust uradjust, lags(1/8) lreq(c)

* Get structural shocks
matrix B=e(B)
predict e1, res eq(gdpadjust)
predict e2, res eq(uradjust)
mkmat e1 e2, matrix(e)
matrix eta=(inv(B)*e')'
svmat eta
* Zero out demand shocks and generate reduced form shocks again
replace eta2=0
mkmat eta1 eta2, matrix(eta)
matrix e=B*eta'
* Generate forecast with zeroed out shocks
matrix A1=e(A1)
matrix F=(inv(A1)*e)'
svmat F
* Add means back
replace F1=F1+means_from_gnp
replace F1=sum(F1)*0.01
sum date if e(sample)
local a=r(min)-1
* Add initial values back
sum logrgnp if date==`a'
replace F1=F1+r(mean)
ren F1 bq_trend
gen bq_gap=logrgnp-bq_trend
* Figure 8
tsline bq_gap if date>=tq(1950q1)


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