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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   Sat, 27 Dec 2008 09:56:26 -0500

Sebastien,
   You could use the test statement to test an individual restriction.
[f.inf]inf = 0

after that equation.

     
    Or you could define the constraint as
constraint 1 [f.inf]inf=0

     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: Sebastian Kruk <residuo.solow@gmail.com>
Date: Saturday, December 27, 2008 9:39 am
Subject: Re: st: restricted VAR for preselection of instruments
To: statalist@hsphsun2.harvard.edu


> 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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