MACROECONOMETRICS LAB 5 – SVARs.

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Presentation transcript:

MACROECONOMETRICS LAB 5 – SVARs

ROADMAP Some things by definition not linked with others ... Estimating SVARs Estimation Postestimation (diagnostics) All about STATA 

Dataset (the same as previously) Timing Quarterly data, Jan. 1995 – Dec. 2004 Data GDP Consumption GDP deflator M3 Quarterly dummies

STATA (1) set memory 99m set matsize 800 Open downloaded file Real and logs are already generated 

STATA (2) Defining SVARs Defining matrices: Defining constraints: aeq(matrix_aeq) - set of equality constraints. must be square with dimension equal to the number of equations in the underlying VAR. the elements must be missing or real numbers. Defining constraints: acns(matrix_acns) - set of exclusion or cross-parameter equality constraints on A. the elements must be missing, 0, or a positive integer. Beq and bcns the same way!

STATA (3) SVARs And this is it ! matrix A = (1, 0 ,0\ ., 1, 0\ ., ., 1) svar lrgdp lrcons lm3, aeq(A) And this is it !

STATA (4) How do we know if this SVAR is a good one? You do a VAR before You run complete diagnostics on this VAR varsoc (for no. of lags) varstable (for eigen values) varlmar (for autocorrelation) If it’s OK., AND you have theory behind your SVAR it should be OK...

STATA (5) Forecasting Computing Graphing svarfcast compute, step(8) dynamic(q(2005.1)) svarfcast compute f_, step(8) replace dynamic(q(2005.1)) bs Graphing svarfcast graph lrconsumption ldef_CPI lm3 lrpkb