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Re: st: RE: command: svar in Stata11


From   Syed Basher <syed.basher@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: command: svar in Stata11
Date   Fri, 24 Dec 2010 02:13:41 -0800 (PST)

Hello Peter,

I also got exactly the same output that Eric mentioned below. Hope you will be 
able to find a solution soon.

Syed

 http://www.syedbasher.org/



----- Original Message ----
From: DE SOUZA Eric <eric.de_souza@coleurope.eu>
To: "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Sent: Fri, December 24, 2010 12:12:13 PM
Subject: st: RE: command: svar in Stata11

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
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