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
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- islmunitroot.rpf
- does unit root tests and other basic statistics
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- islmsvar.rpf
- estimates several SVAR's with short-and-long run restrictions
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- islmvarirf.rpf
- does Monte Carlo integration on a SVAR estimated with CVMODEL
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- islmhistory.rpf
- does the historical decomposition for one of the SVAR's.
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