I want to run fiscal multipliers in good and bad times for 15 countries using forecast error to identify the fiscal policy shocks and the local projection method to estimate the impulse response of output to fiscal policy shocks.
when I read a paper, forecast error is estimated in the following way:
forecasts of government spending are taken from October publications of the IMF’s WEO. Then, the fiscal spending shocks are identified as the forecast errors of government spending. Thus, FEi,t=gi,t(actual)-gi,t(forecast) where gi,t= Gi,t/Yi,t is government spending as a share of GDP. The actual government spending comes from the October WEO of the following year. i-refers to country and t refers to time.
can someone tell me the codes in STATA or eviews how to estimate forecast error and LPM for panel data?
Dear Researcher,
You may run the Impulse Response function test in EVIEWS and STATA both very easily.
As in EVIEWS you just run the VAR or VECM model and later, you can go view and click on Coeifficent Digonastic and then go on Impulse Response Function and it will create graphs that would predict the nature of related variables for the future..
Dear Researcher,
You may run the Impulse Response function test in EVIEWS and STATA both very easily.
As in EVIEWS you just run the VAR or VECM model and later, you can go view and click on Coeifficent Digonastic and then go on Impulse Response Function and it will create graphs that would predict the nature of related variables for the future..
You can use user-written stata programs available publicly on Oscar Jorda's page.
https://sites.google.com/site/oscarjorda/home/local-projections
It worked for me:
Article Long-term determinants of income inequality: evidence from p...
Best
AH
Dear Abebe Hailemariam thank you for the help.
can you help me as well in answering the question?
1. how can I interact the fiscal spending shocks with the state of a business cycle of an economy? The user-written STATA program, u shared with me is describes a linear relationship. In my paper, I am planning to do a non-linear relationship, that is, economic growth in recession and boom.