Regarding graphing Accumulated IRF'S

[RK2509]

Hi Tom,

I have a question.

So, I am using the long run monetary neutrality assumption as in BQ. I use the following code:
estimate
compute bqfactor=%bqfactor(%sigma,%varlagsums)
compute implabel = || "Real GDP","Interest Rate","Real Money","Nominal Money" ||
impulses(model=bqvar,result=impulses,factor=bqfactor,steps=ksteps)
@varirf(model=bqvar,footer="Responses to Cholesky factor shocks", steps=ksteps,varlabels=implabel, accum=||1, 2, 3, 4||)

Now the irf's I get here for real variables do not converge to zero in the long run, but if I dont accumulate them, then even though they are very fluctuating but they converge to zero in the long run. Alternatively I have also done this:

impulse(model=bqvar,result=irfs,factor=bqfactor, steps=ksteps)
dec rect[ser] accumimp(%nvar,%nvar)
do i=1,%nvar
do j=1,%nvar
accumulate irfs(i,j) 1 ksteps accumimp(i,j)
end do i
end do j

How do I draw the IRF's after accumulating them in this way? I want to see if now my real variables converge to zero in the long run or not.

Thank you so much

[TomDoan]

If the variables are (log) differenced, then the unaccumulated IRF's will converge to zero as they will be stationary processes. However, the B-Q restriction is that certain of the responses sum to zero---in particular, the responses of the first three variables to the fourth shock will do that. If you're not seeing that, you're not looking at enough steps.

The most recent version of @MCGRAPHIRF has an option for accumulating the shocks after the full set of draws.

[RK2509]

Hi Tom,

I still have a query. So I have accumulated the shocks using the following

impulse(model=bqvar,result=impulses,factor=bqfactor, steps=ksteps)
dec rect[ser] accumimp(%nvar,%nvar)
do i=1,%nvar
do j=1,%nvar
accumulate impulses(i,j) 1 ksteps accumimp(i,j)
end do i
end do j


On the series window I do get accumimp(1,4) accumimp(2,4) and so on..
I get a tabular form of the impuslses or shocks
How do I get the graphs of IRF's? What's the command for drawing the graphs of IRF's in this case after accumulation. If I do

graph(nodates,number=0,footer=$
"Response of Real GDP to a shock in nominal money")
# accumimp(1,4)

Is this fine Tom?

Many Many Thanks

[TomDoan]

That looks correct.