Questions and discussions on Vector Autoregressions

About example history.prg, how the sequence is chosen?
Is there a reference for that?

* HISTORY.PRG
Code: Select all
`** HISTORY.PRG* Manual Example 10.5************************************************************************  Set Up Data*open data oecdsample.ratcalendar(q) 1981data(format=rats) 1981:1 2006:4 can3mthpcp canexpgdpchs \$   canexpgdpds canm1s canusxsr usaexpgdpch*set logcangdp  = log(canexpgdpchs)set logcandefl = log(canexpgdpds)set logcanm1   = log(canm1s)set logusagdp  = log(usaexpgdpch)set logexrate  = log(canusxsr)*system(model=canmodel)variables logcangdp logcandefl logcanm1 \$          logexrate can3mthpcp logusagdplags 1 to 4det constantend(system)*compute hstart=2003:1compute hend  =2006:4***********************************************************************compute modelsize=%modelsize(canmodel)dec vect[int] depvar(modelsize)dec vect[labels] varlabels(modelsize)ewise varlabels(i)=%modellabel(canmodel,i)compute depvar=%modeldepvars(canmodel)*estimate(noprint,noftests,resids=resids)history(model=canmodel,add,results=history,from=hstart,to=hend)`
ivory4

Posts: 149
Joined: Mon Aug 24, 2009 12:16 pm

No. It's just an example of how the instruction works. Some examples from the literature which use HISTORY are:

Blanchard-Quah AER 1989
Gali AER 1999
Gali QJE 1992
King, Plosser, Stock, Watson AER 1991 (in KPSW5)
Quah, Vahey EJ 1995
moderator