Re: st: Blanchard Quah Decomposition

[James Windsor-Clive <jwindsorclive@googlemail.com>]

Thank you very much for that code, it should very useful. I am also
looking to replicate figures (3)-(6) in the Blanchard and Quah paper.
Do you have the code to create those figures?

Kind regards
James

On Mon, May 7, 2012 at 7:04 PM, Jorge Eduardo Pérez Pérez
<perez.jorge@ur.edu.co> wrote:
> This code replicates Figure 8 of the Blanchard-Quah paper. I don't
> know if there is an easier way to produce the structural shocks, I
> created them manually. To use this code, you need the paper's dataset,
> which is available here:
>
> http://www.estima.com/forum/viewtopic.php?f=4&t=304
>
> -----------------------
> 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)
> ---------------------------
>
> _______________________
> Jorge Eduardo Pérez Pérez
>
>
> On Mon, May 7, 2012 at 1:11 PM, James Windsor-Clive
> <jwindsorclive@googlemail.com> wrote:
>> 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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>> *   http://www.ats.ucla.edu/stat/stata/
>>
>>
>
>
> *
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*
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