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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. * * 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/