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From |
Kit Baum <baum@bc.edu> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Re: "recursive var" |

Date |
Sat, 27 Aug 2005 09:49:52 -0400 |

What you are describing is not a VAR; it is a system of simuitaneous equations. A VAR is just what it says: an autoregression of each variable on the PAST values of itself and the other variables in the VAR. Once you have a current value of any of those variables on the RHS, you can no longer use OLS to estimate the equation. A VAR can be estimated with equation-by-equation OLS. What you describe requires instrumental variables techniques. If you want to estimate the entire system, use reg3 (three-stage least squares).

Kit Baum, Boston College Economics

http://ideas.repec.org/e/pba1.html

On Aug 27, 2005, at 2:33 AM, statalist-digest wrote:

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.

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