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st: SVAR: Return code 498


From   Charles Koss <hqtiger@gmail.com>
To   Stata List <statalist@hsphsun2.harvard.edu>
Subject   st: SVAR: Return code 498
Date   Mon, 9 May 2011 09:08:17 -0500

Dear list members, I am using the command SVAR, but when I calculate
the IRFs I obtained an error message as follows:
predict may not be used after fitting an overidentified SVAR model to
get these statistics for the underlying VAR, fit it with var, then run
predict r(498);

This is the code I am using:

clear
set more off
use http://www.stata-press.com/data/r11/urates
matrix A = (1,0,0\.,1,0\.,0,1)
matrix B = (.,0,0\0,.,0\0,0,.)
svar missouri indiana kentucky, lags(1/4) aeq(A) beq(B)
set seed 05062011 //compare irfs with rats
irf create order1, set(jmulti_gretl_stata)  step(16) bs reps(50)

I wonder, why the error message appears? When the system is just
identified the irfs are calculated. It seems that the irfs can not be
calculated when the system is overidentified. As such, it seems to me
that the estimation of the irfs do not take advantage of short run
restrictions when the system is just identified. Any commenst on this
issue? Your help will be appreciated.

Thank you,

Charles

-- 
Charles Koss
http://charlesonnet.blogspot.com
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