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From |
ting.wang@yale.edu |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: SVAR estimation with Stata |

Date |
Tue, 03 May 2011 23:17:14 -0400 |

But I posted new questions about Impulse Responses. And the instructions indicated previously in the response was the ones I tried before but failed. Questions:

1. Is it the correct way to involve "lags" to the estimation? 2. The convergence is not achieved, any possible reasons for that?3. When I create the IRF, Stata was stuck and could not move on.Does anybodyknow how this might come across?

Quoting Nick Cox <njcoxstata@gmail.com>:

This seems to overlap with a question asked and answered earlier. Nick On Tue, May 3, 2011 at 10:25 PM, <ting.wang@yale.edu> wrote: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. Here is the Stata codes: 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', exog(`dum') lags(1/6) aeq(A) beq(B) {`dum' refers to the 11 dummy variables treated as exogenous} Now create the Impulse Response Function: irf create model2, set(myirf, replace) step(8) irf table fevd, noci {noci is to suppress confidence bands} irf graph oirf, impulse(r) response(cpi) {orthogonalized IRF} irf graph sirf, impulse(r) response(cpi) {structural IRF} Questions: 1. Is it the correct way to involve "lags" to the estimation? 2. The convergence is not achieved, any possible reasons for that?3. When I create the IRF, Stata was stuck and could not move on.Does anybodyknow how this might come across?* * 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: SVAR estimation with Stata***From:*Nick Cox <njcoxstata@gmail.com>

**References**:**st: SVAR estimation with Stata***From:*ting.wang@yale.edu

**Re: st: SVAR estimation with Stata***From:*Nick Cox <njcoxstata@gmail.com>

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