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From |
Michael Hanson <mshanson@mac.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: structural var |

Date |
Wed, 03 Mar 2010 21:12:09 -0500 |

On Mar 3, 2010, at 7:47 AM, anna steccati wrote:

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 equationmakes itimpossible to estimate it with the var command.Is there a way to estimate the model with the SVAR command? Should Iaddmore identification restrictions?

Anna,

In other words, matrix A = (1,0\.,1) matrix B = (.,0\0,.) svar y x, aeq(A) beq(B) ought to do the trick. Hope this helps, Mike * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**st: bootstrap in survival***From:*paaventhan jeyaganth <paaveenthan@hotmail.com>

**Re: st: structural var***From:*anna steccati <a.steccati@gmail.com>

**References**:**st: structural var***From:*anna steccati <a.steccati@gmail.com>

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