A 3-variable system of exogenous variables' future values for the forecast horizon of two years for the US fiscal model for the period 2024 Q3 – 2026 Q2

Exogenous variables to be used in forecasting of the US fiscal policy shocks. Last data update was implemented on 2024-10-22.

Usage

data(us_fiscal_ex_forecasts)

Format

A matrix and a ts object with time series of eight values 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 .

Examples

data(us_fiscal_ex_forecasts)   # upload the data