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Re: st: SVAR estimation with Stata


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 anybody
know 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 anybody
know how this might come across?
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