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Re: Statalist: recursive VAR


From   Sergio Correia <sergio.correia@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: Statalist: recursive VAR
Date   Fri, 26 Aug 2005 12:46:45 -0500

I *think* he is talking about a model like Y1 = f(Y2, L.Y1, L.Y2).
That is, endogenous variable don't only enter as lags.

The answer depends on the structure of your model. I'm not very
familiar with -var- in Stata, but probably it will just estimate the
reduced form of the model. Afterwards, you can use the cholesky
decomposition to get the orthogonalized errors, and the true
parameters (assuming the restrictions that cholesky makes). On the
other hand, you can try with -svar- if you want to impose further
restrictions to the model structure.

Sergio


On 8/26/05, Theodorou, C. <ct51@leicester.ac.uk> wrote:
> hello, i am using VAR on stata but i am not sure i understand your question
> 
> can you elaborate on the "current values of the variables"
> 
> best
> costas
> 
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu]On Behalf Of James Woo
> Sent: 26 August 2005 18:25
> To: statalist@hsphsun2.harvard.edu
> Subject: Statalist: recursive VAR
> 
> 
> I am trying to run a recursive VAR (vector autoregression) in which some
> equation(s) of the VAR system contains the current value of other
> variable(s) , not just past values of the variables.
> 
> I  wonder if Stata allows for including some of the current values of
> variable(s).
> Anyone who is familiar with VAR in Stata, please reply.
> 
> Many thanks!
> 
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