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Re: st: restricted VAR for preselection of instruments


From   "Sebastian Kruk" <residuo.solow@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: restricted VAR for preselection of instruments
Date   Sat, 27 Dec 2008 09:45:48 -0200

Bob,

I try it the next script:

local x1 hp_gap cf_gap bk_gap

forvalues j=10(-1)2 {
	foreach var in `x1' {
		var f.inf st, exog(l2.`x1' l.`x1' `x1') lags(1/`j') lutstats
		est store mod`var'2_`j'
	}
               foreach var in `x1' {
		var f.inf st, exog(l.`x1' `x1') lags(1/`j') lutstats
		est store mod`var'1_`j'
	}
               foreach var in `x1' {
		var f.inf st, exog(`x1') lags(1/`j') lutstats
		est store mod`var'_`j'
	}
}
est stats _all

But in every estimation it appear hp_gap, cf_gap, bk_gap as exogenous
variables at the same time when I want one at time.

Bye,

Sebastian.
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