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st: Re: "recursive var"


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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