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Re: st: restricted VAR for preselection of instruments


From   Robert A Yaffee <bob.yaffee@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: restricted VAR for preselection of instruments
Date   Wed, 24 Dec 2008 17:09:21 -0500

Sebastien,
    For successive VAR order and instrument selection, you might try something like:
webuse lutkepohl2, clear
local x1 dln_inv dln_inc dln_consump
local x2 dln_inv dln_inc
local x3 dln_inv dln_consump

forvalues j=3(-1)1 {
foreach var in `x1' `x2' `x3' {
var `var' , lags(1/`j') lutstats
est store mod`var'`j'
}
}
est stats _all
    Cheers,
            Bob


Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University


Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2008.pdf

CV:  http://homepages.nyu.edu/~ray1/vita.pdf

----- Original Message -----
From: Robert A Yaffee <bob.yaffee@nyu.edu>
Date: Wednesday, December 24, 2008 4:18 pm
Subject: Re: st: restricted VAR for preselection of instruments
To: statalist@hsphsun2.harvard.edu


> Sebastien,
>    Alternatively, you could try something like
> var dln_inv dln_inc dln_consump, lags(1/3) lutstats
> est store mod1
> var dln_inv dln_inc dln_consump, lags(1/2) lutstats
> est store mod2
> var dln_inv dln_inc , lags(1/2) lutstats
> est store mod3
> est stats _all
>         
>      Regards,
>               Bob
> 
> 
> 
> Robert A. Yaffee, Ph.D.
> Research Professor
> Silver School of Social Work
> New York University
> 
> 
> Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2008.pdf
> 
> CV:  http://homepages.nyu.edu/~ray1/vita.pdf
> 
> ----- Original Message -----
> From: Robert A Yaffee <bob.yaffee@nyu.edu>
> Date: Wednesday, December 24, 2008 4:10 pm
> Subject: Re: st: restricted VAR for preselection of instruments
> To: statalist@hsphsun2.harvard.edu
> 
> 
> > Sebastien,
> >   I think you could set up a do file with your sequential VAR 
> > equations specified within it.
> > After each equation, you could save the e(hqic) or e(sbic) and 
> compare 
> > them to ascertain
> > which is the lowest.
> >   Regards,
> >           Bob Yaffee
> > 
> >   
> > 
> > Robert A. Yaffee, Ph.D.
> > Research Professor
> > Silver School of Social Work
> > New York University
> > 
> > 
> > Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2008.pdf
> > 
> > CV:  http://homepages.nyu.edu/~ray1/vita.pdf
> > 
> > ----- Original Message -----
> > From: Sebastian Kruk <residuo.solow@gmail.com>
> > Date: Wednesday, December 24, 2008 3:05 pm
> > Subject: st: restricted VAR for preselection of instruments
> > To: statalist@hsphsun2.harvard.edu
> > 
> > 
> > > Dear stalistusers,
> > > 
> > >  I would like to do a preselection of possible instruments within 
> a
> > > VAR. The two endogenous variables variables π(t+1) and s(t) are
> > > regressed on all potential instruments. This specification can be
> > > formalized as:
> > > 
> > > π(t+1)=v1+A11*π(t-1)+A12*π(t-2)+...+A1j*π(t-j)+B11*x(t-1)+B12*x(t-2)+...+B1j*x(t-j)
> > > s(t)=v2+A21*s(t-1)+A22*s(t-2)+...+A2j*π(t-j)+B21*x(t-1)+B22*x(t-2)+...+B2j*x(t-j)
> > > 
> > > with v1,v2 a a deterministic term, and x(t−j) the vector of all other
> > > predetermined variables with lag j. The maximal lag length is L1 = 
> 10
> > > and L2 = 5.
> > > 
> > > Can I apply a model reduction procedure that works through a
> > > sequential elimination of regressors in order to obtain a model that
> > > lead to the smallest value of the particular information criterion 
> as
> > > Lutkepohl, H. (2005). New introduction to multiple time series
> > > analysis, Springer?
> > > 
> > > I follow Scheufele R. (2008). Evaluating the German (New Keynesian)
> > > Phillips Curve, IWH-Diskussionspapiere 10/2008.
> > > 
> > > Thanks in advance,
> > > 
> > > Sebastian.
> > > *
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