us_fiscal_ex {bsvars}

A 3-variable system of exogenous variables for the US fiscal model for the period 1948 Q1 – 2023 Q2

Description

Exogenous variables used to identify the US fiscal policy shocks.

Usage

data(us_fiscal_ex)

Format

A matrix and a ts object with time series of 302 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 (2023).

References

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.

Lütkepohl, H., Shang, F., Uzeda, L., and Woźniak, T. (2023) Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference.

Examples

data(us_fiscal_ex)   # upload the data
plot(us_fiscal_ex)   # plot the data