us_fiscal_ex: A 3-variable system of exogenous variables for the US fiscal...

In bsvars: Bayesian Estimation of Structural Vector Autoregressive Models

A 3-variable system of exogenous variables for the US fiscal model for the period 1948 Q1 – 2024 Q2

Description

Exogenous variables used to identify the US fiscal policy shocks. Last data update was implemented on 2024-10-20.

Usage

data(us_fiscal_ex)

Format

A matrix and a ts object with time series of over three hundred observations on 3 variables:

t

a time trend

t^2

a quadratic trend

1975Q2

a dummy variable taking the value of 1 for quarter 2 1975 and zero elsewhere

The series are as described by Mertens & Ravn (2014). The data was used by Lütkepohl, Shang, Uzeda, Woźniak (2024).

References

Lütkepohl, H., Shang, F., Uzeda, L., and Woźniak, T. (2024) Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference. University of Melbourne Working Paper, 1–57, \Sexpr[results=rd]{tools:::Rd_expr_doi("10.48550/arXiv.2404.11057")}.

Mertens, K., and Ravn, M.O. (2014) A Reconciliation of SVAR and Narrative Estimates of Tax Multipliers, Journal of Monetary Economics, 68(S), S1–S19. DOI: \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1016/j.jmoneco.2013.04.004")}.

Examples

data(us_fiscal_ex)   # upload the data
plot(us_fiscal_ex)   # plot the data

bsvars documentation built on Oct. 24, 2024, 5:11 p.m.