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From |
anna steccati <a.steccati@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: structural var |

Date |
Thu, 4 Mar 2010 09:39:26 +0100 |

Thanks a lot for your clarification! 2010/3/4 Michael Hanson <mshanson@mac.com> > > 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 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? >> > > Anna, > > If you need to estimate a structural VAR (as you state), then you need to > use -svar-. What you have proposed for your model is a simple two-equation > recursive VAR -- it can be identified via a Choleski decomposition. In the > [TS] manual, look at the first example of a "short-run just-identified SVAR > model." Your model is even simpler, as you have only two equations. The > identifying assumptions that A is lower triangular (i.e., the A(1,2) element > is zero) and the two structural error terms are uncorrelated (using the > identity for the variance matrix is only a normalization) gives enough > restrictions to recover all the remaining structural parameters. Note that > is your case, the restriction is imposed on the y(t) equation (that is, x(t) > has a coefficient of zero in the y(t) equation), which means it should be > listed first in your -svar- command, given that A is lower triangular. > > 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/ > * * 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/

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

**Re: st: structural var***From:*Michael Hanson <mshanson@mac.com>

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