Historical decomposition

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Joined: Wed Apr 01, 2020 6:58 pm

Historical decomposition

Postby kiero » Thu Apr 30, 2020 3:12 pm

I have a question regarding the historical decomposition add-in. I have a VAR model with five variables (GDP, wage, productivity, inflation, unemployment rate). I identified a demand and a supply shock with sign-restrictions. When I use the add-in, I get the historical decomposition of the shocks of the endogenous variables, not these two shocks. How can I get the historical decomposition of these two identified shocks?

Posts: 9
Joined: Tue Dec 31, 2019 6:56 am

Re: Historical decomposition

Postby gabrieltem » Fri Oct 30, 2020 11:22 am

Hello Kiero,

I am researching on identifying fiscal policy shock. I didn't decide either sign restriction or forecast error
of government spending to use yet. I use panel annual data.

May you please guide me on how to identify government spending shocks using sign restrictions? can u share me the codes and/ or
guide me giving simulated data and steps so that I learn it easily?

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