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MACROECONOMETRICS

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

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MACROECONOMETRICS

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  1. MACROECONOMETRICS LAB 5 – SVARs

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

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

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

  5. STATA (2) • Defining SVARs • Defining matrices: • 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. • must be square with dimension equal to the number of equations in the underlying VAR. • the elements must be missing, 0, or a positive integer. • Beq and bcns the same way!

  6. STATA (3) • SVARs • matrix A = (1, 0 ,0\ ., 1, 0\ ., ., 1) • svar lrgdplrconslm3, aeq(A) • And this is it !

  7. 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., ANDyou have theory behind your SVAR it should be OK...

  8. STATA (5) • Forecasting • Computing • 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

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