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From |
DE SOUZA Eric <eric.de_souza@coleurope.eu> |

To |
"statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |

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: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Peter Claeys Sent: 24 December 2010 09:27 To: statalist@hsphsun2.harvard.edu 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 * * 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/

**Follow-Ups**:**Re: st: RE: command: svar in Stata11***From:*Syed Basher <syed.basher@yahoo.com>

**References**:**st: command: svar in Stata11***From:*Peter Claeys <peter.claeys@ub.edu>

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