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st: structural var


From   anna steccati <a.steccati@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: structural var
Date   Wed, 3 Mar 2010 13:47:48 +0100

Dear all,



I need to estimate a structural VAR with 2 equations as follows:

x(t)=x(t-1)+…+x(t-5)+y(t)+…+y(t-5)

y(t)=y(t-1)+…+y(t-5)+x(t-1)+…+x(t-5)



The presence of the contemporaneous term y in the first equation makes it
impossible to estimate it with the var command.

Is there a way to estimate the model with the SVAR command? Should I add
more identification restrictions?


Thank you,

Anna

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