A 3-variable system of exogenous variables for the US fiscal model for the period 1948 Q1 – 2024 Q2
Source:R/us_fiscal_ex.R
us_fiscal_ex.RdExogenous 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, 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: doi:10.1016/j.jmoneco.2013.04.004 .
