# 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
"at least one constraint in constraints(1) invalid"

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

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