Gali QJE 1992

[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

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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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