BQDoDraws—Procedure for MC draws from Blanchard-Quah
Posted: Wed Apr 04, 2018 11:52 am
@BQDODraws is a specialized version of @MCVarDoDraws which has been adapted to use the Blanchard-Quah factorization rather than the Cholesky. 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".
Detailed Description
Detailed Description