BQDoDraws - Procedure for MC draws from Blanchard-Quah

[TomDoan]

The attached is a version of MCVarDoDraws which has been adapted to use the Blanchard-Quah factorization rather than the Choleski. It is specific to the 2-variable setup. This identifies the second shock as having no long-run effect on the first variable (which should be put into the VAR in differenced form). In the original BQ paper, this second shock would be the "demand" shock, while the unconstrained first shock is "supply".

The options are the same as for MCVARDoDraws, except that the default for the ACCUMULATE option is ||1|| - that is, the responses of the first variable are undifferenced.


MODEL=model to analyze [required, should already be estimated]
STEPS=number of response steps[48]
DRAWS=number of Monte Carlo draws[1000]
ACCUMULATE=list of variables (by position) to accumulate [||1||]

BQDoDraws.src

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MCVARDoDraws is at http://www.estima.com/forum/posting.php?mode=edit&f=7&p=827