Faust Leeper JBES 1997 BQ factorizations

[TomDoan]

These are replication files for Faust and Leeper(1997), "When Do Long-Run Identifying Restrictions Give Reliable Results", JBES, vol 15, no 3, pp 345-353. This demonstrates use of the Blanchard-Quah factorization, and the procedures MCGraphIRF, MCFEVDTable and StructResids.

Y-U model (Blanchard-Quah's original model)

yuquarterly.prg

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Y-P model

ypquarterly.prg

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Comparison of residuals from Y-U and Y-P models

yuypcompare.prg

(2.17 KiB) Downloaded 106 times

Data file

FaustLeeper.rat

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