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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 12:36:38 -0200

Bob,

I have to estimate a VAR with two equations:

(eq1) f.inf = a1 + a10*inf + a11*l.inf + a12*l2.inf + ... + a1j*lj.inf
+ b10*x + b11*l.x + b12*l2.x + ... + b1i*li.x
(eq2) st = a2 + a21*l.st + a22*l2.st + ... + a2j*lj.st + b20*x
+b21*l.x + b22*l2.x + ... + b2i*li.x

where x can be hp_gap, cf_gap or bk_gap.

I try a new one:

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

But I need next restriction: a10=0

What can I do?

Bye,

Sebastian.
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