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st: Blanchard Quah Decomposition
From
James Windsor-Clive <[email protected]>
To
[email protected]
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
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