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Gali QJE 1992
Posted: Mon Apr 02, 2018 7:56 pm
by TomDoan
The attachments are replications for Gali(1992), "How Well Does the IS-LM Model Fit Postwar U.S.",
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
- (10.38 KiB) Downloaded 1049 times
- islmdata.src
- Common file for data transformations
- (805 Bytes) Downloaded 1019 times
- islmvarsetup.src
- Common file for setting up SVAR
- (2.65 KiB) Downloaded 1041 times
- islmunitroot.rpf
- does unit root tests and other basic statistics
- (956 Bytes) Downloaded 1181 times
- islmsvar.rpf
- estimates several SVAR's with short-and-long run restrictions
- (1.79 KiB) Downloaded 1164 times
- islmvarirf.rpf
- does Monte Carlo integration on a SVAR estimated with CVMODEL
- (3.27 KiB) Downloaded 1137 times
- islmhistory.rpf
- does the historical decomposition for one of the SVAR's.
- (1.21 KiB) Downloaded 1125 times