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st: how to use Structural VARs (SVAR)


From   wei song <freemountain@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: how to use Structural VARs (SVAR)
Date   Thu, 9 Jun 2005 12:40:38 -0300

To whom it may concern,

This is my fisrt try of SVAR. I hope there is someone can help me.
Given a two-equation model:
Yt=a10+a11*Tt+b11*Yt-1+b12*Tt-1
Tt=a20+a21*Yt+b21*Yt-1+b22*Tt-1
a11=0
and the error term of the second equation=0
how to set the constraints when I run SVAR command? What do the matrix
A, B (short run constraints) and C (long run constraints) refer?

Thank you very much!

Sincerely,

Wei Song

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