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From | James Windsor-Clive <jwindsorclive@googlemail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | st: Blanchard Quah Decomposition |
Date | Mon, 7 May 2012 18:11:02 +0100 |
Dear Statalist users, Apologies if you have answered this already but I am a relative newcomer to Stata and this list. I have conducted an SVAR using long run restrictions to decompose temporary and permanent shocks. I am using the methodology of Blanchard and Quah: Olivier Jean Blanchard; Danny Quah "The Dynamic Effects of Aggregate Demand and Supply Disturbances" The American Economic Review, Vol. 79, No. 4. (Sep., 1989), pp. 655-673 I was wondering if there was a procedure on Stata that extracts the structural shock series from the estimated residual series. My aims is to manufacture impulse response functions showing the response of output to demand and supply shocks. Any guidance would be very much appreciated. Thanks in advance, James * * 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/