*                                                        24 Oct 98
*  program to calculate stage 1 VAR--Japan demand system
*
cal 1971 1 4
*
all 70 1998:4
*
open data d:\imf\varjapan\rats.wks
data(format=wks,org=obs) /

*
smpl 1973:1 1998:4
*
system 1 to 8
variables $
dlc dlx dlm dlfixr dlrest dlg invenr dlpubi  
lags 1 to 2
det constant        
end(system)
declare vect[series] varresids(8)
estimate(ftests) / varresids(1)
*
set rc  = varresids(1)
set rx = varresids(2)
set rm = varresids(3)
set rfix = varresids(4)
set rrest = varresids(5)
set rg = varresids(6)
set rinvenr = varresids(7)
set rpubi = varresids(8)
*
set rgdp = cr*rc+fixrr*rfix+restr*rrest+ $
xr*rx-mr*rm+gr*rg+rinvenr+pubir*rpubi
*           
* 
*
* Calculating accumulated residuals of gdp, c, fixr
compute start1=1990:2, end1=1998:4
smpl start1 end1;set(first=1) t1 = t1{1}+1
smpl 1973:1 1998:4
*
*
* accumulated residuals of government spending
stat(noprint) rg;compute vtmp=%variance;set rg_s = rg/sqrt(vtmp)
acc rg_s start1 end1 rg_st1
*
*
*Use of instrumental variables to isolate shocks to individual variables
*
** consumption 
instrument constant rg rx
linreg(inst,noprint) rc / ec
# constant rgdp
stat(noprint) ec;compute vtmp=%variance;set ec_s = ec/sqrt(vtmp)
acc ec_s start1 end1 ec_st1

** investments
instrument constant rg rx
linreg(inst,noprint) rinvenr / eivenr
# constant rgdp
stat(noprint) eivenr;compute vtmp=%variance;set eivenr_s = eivenr/sqrt(vtmp)
acc eivenr_s start1 end1 eivenr_st1

instrument constant rg rx
linreg(inst,noprint) rfix / efix
# constant rgdp
stat(noprint) efix;compute vtmp=%variance;set efix_s = efix/sqrt(vtmp)
acc efix_s start1 end1 efix_st1

instrument constant rg rx
linreg(inst,noprint) rrest / erest
# constant rgdp
stat(noprint) erest;compute vtmp=%variance;set erest_s = erest/sqrt(vtmp)
acc erest_s start1 end1 erest_st1

instrument constant rg rx
linreg(inst,noprint) rpubi / epubi
# constant rgdp
stat(noprint) epubi;compute vtmp=%variance;set epubi_s = epubi/sqrt(vtmp)
acc epubi_s start1 end1 epubi_st1

**IMPORTS
instrument constant rg rx
linreg(inst,noprint) rm / em
# constant rgdp
stat(noprint) em;compute vtmp=%variance;set em_s = em/sqrt(vtmp)
acc em_s start1 end1 em_st1

*
* TRADE BALANCE
set rxm = rx-em
stat(noprint) rxm;compute vtmp=%variance;set rxm_s = rxm/sqrt(vtmp)
acc rxm_s start1 end1 rxm_st1
*
*
* SUM OF GDP SHOCKS
set egdp = cr*ec+fixrr*efix+restr*erest+ $
xr*rx-mr*em+gr*rg+eivenr+pubir*epubi
* 
stat(noprint) egdp;compute vtmp=%variance;set egdp_s = egdp/sqrt(vtmp)
acc egdp_s start1 end1 egdp_st1
*
*
* print of residuals

* "********************************************************"
* "      RESIDUALS ACCUMULATED FROM 1990:1 TO 1997:2       "
* "********************************************************"

print start1 end1 egdp_st1 ec_st1 
print start1 end1 efix_st1 erest_st1 epubi_st1
print start1 end1 rxm_st1 rg_st1 eivenr_st1


open copy d:\imf\varjapan\final\residuals.wks
copy(org=obs,format=wks,dates) / rg_s ec_s eivenr_s efix_s erest_s $
 epubi_s em_s rxm_s egdp_s
??

??

(continued...)

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