Bookmark and Share

Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at

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

st: variance decomposition

From   Koray <[email protected]>
To   [email protected]
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

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?



*   For searches and help try:

© Copyright 1996–2018 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   Site index