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* The zero restriction only determines the shape, not the sign, of the
* demand shock. If we want it defined so that the contemporaneous
* response of output is positive (that will be the (1,2) element in the
* factor), we need to flip the sign of the second column if the response
* has the wrong sign.
If B is a factor of a symmetric matrix, then you can also obtain a factor by sign flipping any combination of columns. The BQ restriction on the demand shock is that it have a long-run zero response on output. As the comment notes, that determines the shape but not the sign; flip the sign on the demand shock and the lonr-run response will still be zero. By construction, the supply
shock will have a positive initial impact, but the second shock produced by %BQFACTOR
usually will have a negative initial impact. This flips the sign if necessary to make the demand impact positive.
HISTDECOMP is the historical decomposition of the two series. This is described in section 10.7 of the User's Guide
and in the Reference Manual
under the HISTORY
instruction. This example has quite a bit of added code because of the special processing done to the variables. GNP, for instance, was converted to 100*log difference, then separately de-meaned over two ranges. The removed means have to be added back to the base forecast; similarly the trend removed from the UR has to be added back. Then to get the decomposition of log GNP itself, all three GNP components have to be accumulated, then scaled back by .01 to reverse the 100*. Then the pre-sample value of log GNP has to be added back since it was lost in differencing.
I posted some additional information on the historical decomposition at:http://www.estima.com/forum/viewtopic.php?f=4&t=655