Description Usage Arguments Details Value Author(s) References See Also Examples
This function estimates a SVAR of type Blanchard and Quah. It returns
a list object with class attribute ‘svarest
’.
1  BQ(x)

x 
Object of class ‘ 
For a BlanchardQuah model the matrix A is set to be an identity matrix with dimension K. The matrix of the longrun effects is assumed to be lowertriangular and is defined as:
(I_K  A_1  \cdots  A_p)^{1}B
Hence, the residual of the second equation cannot exert a longrun influence on the first variable and likewise the third residual cannot impact the first and second variable. The estimation of the BlanchardQuah model is achieved by a Choleski decomposition of:
(I_K  \hat{A}_1  \cdots  \hat{A}_p)^{1}\hat{Σ}_u (I_K  \hat{A}_1'  \cdots  \hat{A}_p')^{1}
The matrices \hat{A}_i for i = 1, …, p assign the reduced form estimates. The longrun impact matrix is the lowertriangular Choleski decomposition of the above matrix and the contemporaneous impact matrix is equal to:
(I_K  A_1  \cdots  A_p)Q
where Q assigns the lowertrinagular Choleski decomposition.
A list of class ‘svarest
’ with the following elements is
returned:
A 
An identity matrix. 
Ase 

B 
The estimated contemporaneous impact matrix. 
Bse 

LRIM 
The estimated longrun impact matrix. 
Sigma.U 
The variancecovariance matrix of the reduced form residuals times 100. 
LR 

opt 

start 

type 
Character: “BlanchardQuah”. 
var 
The ‘ 
call 
The 
Bernhard Pfaff
Blanchard, O. and D. Quah (1989), The Dynamic Effects of Aggregate Demand and Supply Disturbances, The American Economic Review, 79(4), 655673.
Hamilton, J. (1994), Time Series Analysis, Princeton University Press, Princeton.
LÃ¼tkepohl, H. (2006), New Introduction to Multiple Time Series Analysis, Springer, New York.
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