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st: RE: command: svar in Stata11
From
DE SOUZA Eric <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: RE: command: svar in Stata11
Date
Fri, 24 Dec 2010 10:12:13 +0100
This is what I get with your instructions ( verion 11.1):
. webuse m1gdp
.
. matrix lr = (.,0\0,.)
.
. svar d.ln_m1 d.ln_gdp, lreq(lr)
Estimating long-run parameters
Iteration 0: log likelihood = -27.958026
Iteration 1: log likelihood = 895.37393
Iteration 2: log likelihood = 1116.3226
Iteration 3: log likelihood = 1150.8327
Iteration 4: log likelihood = 1151.6135
Iteration 5: log likelihood = 1151.6143
Iteration 6: log likelihood = 1151.6143
Structural vector autoregression
( 1) [c_1_2]_cons = 0
( 2) [c_2_1]_cons = 0
Sample: 1959q4 - 2002q2 No. of obs = 171
Overidentified model Log likelihood = 1151.614
------------------------------------------------------------------------------
| Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
/c_1_1 | .0301007 .0016277 18.49 0.000 .0269106 .0332909
/c_2_1 | (omitted)
/c_1_2 | (omitted)
/c_2_2 | .0129691 .0007013 18.49 0.000 .0115946 .0143436
------------------------------------------------------------------------------
LR test of identifying restrictions: chi2( 1)= .1368 Prob > chi2 = 0.712
Eric de Souza
College of Europe
Brugge (Bruges), Belgium
http://www.coleurope.eu
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of Peter Claeys
Sent: 24 December 2010 09:27
To: [email protected]
Subject: st: command: svar in Stata11
Dear all,
I am using Stata11 to set up an SVAR model. Before going to program my own material, I tried to replicate the examples on the SVAR Help.
I get an error message, after doing these 3 lines, telling me the following:
webuse m1gdp
matrix lr = (.,0\0,.)
svar d.ln_m1 d.ln_gdp, lreq(lr)
r125
numdepvars() invalid -- invalid number, outside of allowed range
So it seems that if I have 2 variables, the program does not understand I have a 2x2 matrix with restriction (or vice versa).
I checked, and updated, my Stata11 license, and even with the most recent update, I get this message. Is there some practical issue I am overlooking?
thanks a lot,
Peter
--
Peter Claeys
Grup AQR IREA, Universitat de Barcelona
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