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

st: Re: "recursive var"

From   Kit Baum <>
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

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
Anyone who is familiar with VAR in Stata, please reply.

*   For searches and help try:

© Copyright 1996–2017 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index