Archive for July 2017

Importing Twitter data into Stata

In the past, we’ve had users ask if Stata could import Twitter data. So we asked one of our interns, Dawson Deere (currently working on his computer science degree at Texas A&M University) to see if he could write a new command to do this. He used Stata 15’s improved Java plugins feature to write a new twitter2stata command. To install twitter2stata, type

ssc install twitter2stata, replace

Read more…

Categories: Data Management Tags: ,

Estimating the parameters of DSGE models


Dynamic stochastic general equilibrium (DSGE) models are used in macroeconomics to model the joint behavior of aggregate time series like inflation, interest rates, and unemployment. They are used to analyze policy, for example, to answer the question, “What is the effect of a surprise rise in interest rates on inflation and output?” To answer that question we need a model of the relationship among interest rates, inflation, and output. DSGE models are distinguished from other models of multiple time series by their close connection to economic theory. Macroeconomic theories consist of systems of equations that are derived from models of the decisions of households, firms, policymakers, and other agents. These equations form the DSGE model. Because the DSGE model is derived from theory, its parameters can be interpreted directly in terms of the theory.

In this post, I build a small DSGE model that is similar to models used for monetary policy analysis. I show how to estimate the parameters of this model using the new dsge command in Stata 15. I then shock the model with a contraction in monetary policy and graph the response of model variables to the shock. Read more…

Categories: Statistics Tags: ,