Gali QJE 1992
Posted: Thu May 19, 2011 2:57 pmThe attachments are replications for Gali(1992), "How Well Does the IS-LM Model Fit Postwar U.S.",
Quarterly Journal of Economics, vol 107, no. 2, pp 709-738. This does a VAR with long and short run restrictions, estimated by maximum likelihood using CVMODEL. It makes extensive use of the ShortAndLong procedure to parameterize a set of short and long run loadings in the factorization (the "B" part of the model), with the final identification coming from "A" restrictions.
Quarterly Journal of Economics, vol 107, no. 2, pp 709-738. This does a VAR with long and short run restrictions, estimated by maximum likelihood using CVMODEL. It makes extensive use of the ShortAndLong procedure to parameterize a set of short and long run loadings in the factorization (the "B" part of the model), with the final identification coming from "A" restrictions.
GaliQJE1992.zip- This zip file includes all the files below
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- galiqje1992.rat
- Data file
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- islmdata.src
- Common file for data transformations
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- islmvarsetup.src
- Common file for setting up SVAR
- (2.65 KiB) Downloaded 95 times
- islmunitroot.rpf
- does unit root tests and other basic statistics
- (956 Bytes) Downloaded 83 times
- islmsvar.rpf
- estimates several SVAR's with short-and-long run restrictions
- (1.79 KiB) Downloaded 88 times
- islmvarirf.rpf
- does Monte Carlo integration on a SVAR estimated with CVMODEL
- (3.27 KiB) Downloaded 92 times
- islmhistory.rpf
- does the historical decomposition for one of the SVAR's.
- (1.21 KiB) Downloaded 81 times