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st: Exogenous Variables in Structural Vector Autoregressive Models


From   Lauricio Baletti <[email protected]>
To   [email protected]
Subject   st: Exogenous Variables in Structural Vector Autoregressive Models
Date   Tue, 16 Nov 2010 21:13:00 +0100

Dear Statalist Users,

is there a possibility to include exogenous variables in single SVAR /
VAR equations?  I'm estimating VARs and SVARs with 3 endogenous
variables. There is a structural break in two variables. Therefore I
want to include two dummy variables into the two corresponding
equations: (i) impulse dummy (break date = 1) (ii) shift dummy (after
break date = 1). How do I implement this approach in STATA?

Thanks a lot!

Greets Lauricio
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