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From | "Ángela Fajardo Moreno" <aafajardom@unal.edu.co> |
To | statalist@hsphsun2.harvard.edu |
Subject | st: Blanchard & Quah decomposition |
Date | Sun, 23 Jun 2013 19:46:48 -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) > > Enviado desde mi iPad * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/