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RE: st: SVAR estimation with Stata


From   DE SOUZA Eric <eric.de_souza@coleurope.eu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   RE: st: SVAR estimation with Stata
Date   Tue, 3 May 2011 09:59:13 +0200

Yes. The problem is that the diagonal elements of both  the A and the B matrix are being constrained to unity.


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 Syed Basher
Sent: 03 May 2011 07:32
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: SVAR estimation with Stata

Hi,
I think your B matrix is not correctly specified. Replace "1" with "." in your B matrix, it should work. Have a look at the the Stata manual (var svar), it is useful.

--
Syed Abul Basher
Qatar Central Bank
P.O. Box 1234
Doha, Qatar.
http://www.syedbasher.org/


----- Original Message -----
> From: "ting.wang@yale.edu" <ting.wang@yale.edu>
> To: statalist@hsphsun2.harvard.edu
> Cc: 
> Sent: Tuesday, May 3, 2011 5:22 AM
> Subject: Re: st: SVAR estimation with Stata
> 
> Dear all,
> 
> I am running Structural VAR model with Stata. Suppose the 
> contemporaneous coefficient matrix is G0, that is,
> 
> e(t)=G0*u(t),
> 
> where e(t) is the structural error and u(t) is the error of the 
> reduced form VAR.
> 
> My inquiry is about how to set up the A and B matrix in Stata based on 
> G0. Is B matrix supposed to be an identity matrix? How do we involve 
> lags in structural VAR estimation? If G0 is considered to be 
> instantaneous, does it really matter how many lags to include in the model?
> 
> Here is the codes I used in Stata. It does not converge when we carry 
> out a maximum likelihood estimation. Iteration only goes on forever, 
> which forces me to limit the maximum number of iterations.
> 
> matrix A (exactly the G0 matrix)
> =(1,.,0,0,.,0,.\.,1,.,.,0,0,0\0,0,1,.,.,0,0\0,0,0,1,.,0,0\0,0,0,0,1,0,
> 0\0,0,0,0,.,1,0\.,.,.,.,.,.,1)
> matrix B
> =(1,0,0,0,0,0,0\0,1,0,0,0,0,0\0,0,1,0,0,0,0\0,0,0,1,0,0,0\0,0,0,0,1,0,
> 0\0,0,0,0,0,1,0\0,0,0,0,0,0,1)
> 
> svar `varlist', lags(1/6) aeq(A) beq(B)
> 
> I hope someone can help with this. Thank you very much. I really appreciate it.
> 
> *
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> *  http://www.ats.ucla.edu/stat/stata/
>

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