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

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 12:48:36 -0500

Oops, didnt read the "recursive" part of the question



On 8/26/05, Sergio Correia <sergio.correia@gmail.com> wrote:
> 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!
> >
> > _________________________________________________________________
> > Don't just search. Find. Check out the new MSN Search!
> > http://search.msn.click-url.com/go/onm00200636ave/direct/01/
> >
> > *
> > *   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/
> >
> > *
> > *   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/
> >
>

*
*   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/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index