#delimit; set more 1; drop _all; set mem 400m; * RAMEY IDENTIFYING GOVERNMENT SPENDING SHOCKS: IT'S ALL IN THE TIMING; * VARPDV.DO: FILE THAT RUNS VARS WITH THE NEWS VARIABLE; log using varpdv3908.log, replace; *log using varpdv4708.log, replace; *log using varpdv5508.log, replace; insheet using govdat3908.csv; *drop if quarter<1947; *drop if quarter<1955; *set scheme s1color; gen t = q(1939q1) + _n-1; *gen t = q(1947q1) + _n-1; *gen t = q(1955q1) + _n-1; gen t2 = t^2; gen t3 = t^3; format t %tq; tsset t, quarterly; gen rwmfg = nwmfg/pman; gen rwbus = nwbus/pbus; gen pdvmily = pdvmil/L.ngdp; replace pdvmily = pdvmil/89.7 if pdvmily==.; local varlist = "rgdp rcons rcnd rcsv rcdur rcndsv kcdur rinv rinvfx rnri rres tothours rgov rdef"; foreach var of local varlist {; gen l`var' = log(`var'/totpop); }; local varlist = "totpop rwbus rwmfg "; foreach var of local varlist {; gen l`var' = log(`var'); }; gen rintbaa = baa - 400*log(cpi/L.cpi); * VARS WITH TOTHOURS AS 6TH VARIABLE - THESE ARE THE RESULTS REPORTED FOR GOV SPENDING, GDP, T-BILL, TAX; var pdvmily lrgov lrgdp tb3 amtbr ltothours, lags(1/4) exog(t t2) ; varirf create irfltothours, step(20) bs rep(500) set(irfltothours, replace); varirf table oirf, impulse(pdvmily) response(lrgov lrgdp tb3 amtbr ltothours) std; * VARS THAT ROTATE OTHER VARIABLES IN AS THE 6TH VARIABLE; local varlist = "lrcnd lrcsv lrcdur lrinvfx lrnri lrres lrwmfg rintbaa"; foreach var of local varlist {; var pdvmily lrgov lrgdp tb3 amtbr `var', lags(1/4) exog(t t2) ; varirf create irf`var', step(20) bs rep(500) set(irf`var', replace); varirf table oirf, impulse(pdvmily) response(`var') std; }; log close;