TCA: Stata module to perform Transmission Channel Analysis for structural VAR models

Muhammad Alkhalaf ()
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Muhammad Alkhalaf: NA

Statistical Software Components from Boston College Department of Economics

Abstract: tca implements Transmission Channel Analysis (TCA) for structural vector autoregressive (SVAR) models following the methodology of Wegner, Lieb, and Smeekes (2025). TCA decomposes impulse response functions (IRFs) into contributions from distinct transmission channels using a systems form representation and directed acyclic graph (DAG) path analysis. The key equation is x = Bx + Omega*epsilon, where B is a K*(h+1) x K*(h+1) block lower-triangular matrix and Omega encodes structural shocks. By selectively zeroingentries in B and Omega, different transmission paths can be isolated.

Language: Stata
Requires: Stata version 14
Keywords: structural VAR; decomposition; impulse response functions (search for similar items in EconPapers)
Date: 2026-03-15
Note: This module should be installed from within Stata by typing "ssc install tca". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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http://fmwww.bc.edu/repec/bocode/t/tca.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/t/tca.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/t/tca.mata program code (text/plain)
http://fmwww.bc.edu/repec/bocode/t/tca_test.do sample do-file (text/plain)

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