::: Code documentation for :::


The Liquidity-Augmented Model of Macroeconomic Aggregates
  Athanasios Geromichalos (UC Davis) and Lucas Herrenbrueck (Simon Fraser University)
  First version: 2017; this version: 2020
  https://herrenbrueck.weebly.com/uploads/1/3/3/9/13395560/geromichalos_herrenbrueck_2017_lamma.pdf


Files included:


1. "(4.2) MacroHistory regressions.do"
   (This file uses code contributed by Marieh Azizirad, Simon Fraser University.)
   Open with: STATA
   Requires: Either the file "JSTdatasetR4.dta" from http://www.macrohistory.net/data/,
             or internet access to load it directly into STATA.
   Used for: Our analysis of the long-run return on capital assets in Section 4.2, pages 24-26

2. "(5.1) dataset for lambda calibration (FRED).xls" or "(5.1) dataset for lambda calibration (FRED).gdt"
   Open with: Excel or GRETL
   Used for: VAR regression to estimate the short-term semielasticity of interest rates
             on money growth (page 35)

3. "(5.1) var results 1960 on.txt" and "(5.1) var results 1980 on.txt"
   Open with: Any text editor
   Used for: Saved VAR regression results, used in Section 5.1, page 35
   To replicate: Open "(5.1) dataset for lambda calibration (FRED).gdt" with GRETL,
                 select /Model/Multivariate time series/Vector autoregression,
                 and enter dJ, ld_M1, ld_P1, ld_Y, ld_K into "endogenous variables".
                 Also select "Lag order: 4", "Robust standard errors", and "Include a constant".
                 Run on either the full dataset or the restricted dataset since 1980:1.

4. "(5.2) lamma_dsge.mod"
   (This file uses code contributed by Johannes P. Strobel, Bundesbank.)
   Open with: Dynare editor (for example, via MATLAB)
   Used for: DSGE solution and simulation of the short-run model 
             (Section 5.2, pages 36-38; Section 5.3, pages 38-39; Appendix A.4, pages 54-56)

