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Re: st: xtlsdvc, initial(my)
many thanks for your prompt reply. I have checked with matrices of
different dimensions, but the answer is always the same. So there must
be something else that I am missing.
On 9/7/05, V. Sarafidis <email@example.com> wrote:
> I think the answer is that you don't need the estimate of the error
> variance. Only your initial vector of estimates (your estimate of the LDV
> coefficient needs to be firstfirst).
> The reason it says
> "the number of columns of my must be equal to the number of
> right-hand variables plus one"
> is because when you run xtlsdvc you do not put the lagged dependent
> variable in the model (so you type xtlsdvc y x , i(my) ). Therefore, you
> have 5 - say - regressors in your file plus the lagged dependent variable
> which the command xtlsdvc will create by itself.
> I hope this helps
> On Sep 7 2005, Miguel Portela wrote:
>>I am estimating a dynamic model using XTLSDVC. When I use the option
>>'initial(my)' I get
>> "the number of columns of my must be equal to the number of
>>right-hand variables plus one"
>>'my' is a [1x(k+1)] matrix, which uses the results from a previous
>>regression and an estimate of the error variance
>> mat my=e(b),evariance
>>I have checked with matrices of different dimensions, but the answer
>>is always the same. Could you please let me know if there is a
>>thanks in advance for your help,
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