Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: constrained VAR

From   "John D. Levendis" <>
To   statalist <>
Subject   st: constrained VAR
Date   Thu, 26 Jun 2003 19:02:04 -0500

Greetings statalisters,

I've got a question regarding constraints on variables in a VAR.

Consider the VARX below:

P = B1*P(t-1) + B2*Q(t-1) + B3*X1(t) + B4*X2(t) + e(t)
Q = B5*P(t-1) + B6*Q(t-1) + B7*X1(t) + B8*X2(t) + e(t)

It can be estimated by
-var P Q, exog(X1 X2) lags(1)

I want to constrain the coeff on X1 in the Q equation to be zero.

If the Xs were endogenous variables, I could have done:
constraint define 1 [Q] X1 = 0
var P Q, exog(X1 X2) constraint(1)

This doesn't seem to work. I get the error message 
"regressor Q not found"
"at least one constraint in constraints(1) invalid"

Is there a way to constrain the X1 if its an exogenous variable?

Thanks in advance.

John D. Levendis
W210 Pappajohn Bus. Bldg
University of Iowa
Iowa City, IA 52242
Can you immagine being from Oz
and moving to Kansas?!

*   For searches and help try:

© Copyright 1996–2015 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index