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From |
"Falko Juessen" <F.Juessen@wiso.uni-dortmund.de> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: Constraints in VAR models |

Date |
Thu, 06 May 2004 13:45:54 +0200 |

Dear statalisters, I have a question concerning constraints (exclusion restrictions) in VAR models. David M. Drukker, Stata Corp, posted on Fri, 27 Jun 2003: 'As described in [R] constraint, there is an alternative syntax when specifying exclusion restrictions. The syntax constraint define # [equation_name] coefficient_list defines exclusion restrictions for all the coefficients named in coefficient_list in the specified equation. To illustrate, I repeat the previous example using this syntax. . clear . use http://www.stata-press.com/data/r8/lutkepohl (Quarterly SA West German macro data, Bil DM, from Lutkepohl 1993 Table E.1) . constraint define 2 [dlincome] dlconsumption . var dlinvestment dlincome , exog(dlconsumption) constraint(2) Estimating VAR coefficients Iteration 1: tolerance = .009279 Iteration 2: tolerance = .00221815 Iteration 3: tolerance = .0005265 Iteration 4: tolerance = .00012476 Iteration 5: tolerance = .00002955 Iteration 6: tolerance = 6.999e-06 Iteration 7: tolerance = 1.658e-06 Iteration 8: tolerance = 3.926e-07 Vector autoregression Constraints: ( 1) [dlincome]dlconsumption = 0 Sample: 1960q4 1982q4 (output omitted)' So far, so good. Now I would like to include more than one variable in the coefficient_list. For example, L.dlincome also should have no effect on the [dlincome] equation. Syntax: constraint define 3 [dlincome] dlconsumption L.dlincome . var dlinvestment dlincome , exog(dlconsumption) constraint(3) Estimating VAR coefficients Iteration 1: tolerance = .00095522 Iteration 2: tolerance = .00022329 Iteration 3: tolerance = .00005216 Iteration 4: tolerance = .00001218 Iteration 5: tolerance = 2.845e-06 Iteration 6: tolerance = 6.643e-07 Vector autoregression Constraints: ( 1) [dlincome]dlconsumption = 0 ( 2) [dlinvestment]L.dlincome = 0 ( 3) [dlincome]L.dlincome = 0 Sample: 1960q4 1982q4 (output omitted) Why does stata include a third constraint in the estimation? Thank you very much for your help. Falko Juessen. * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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