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st: RE: SVAR: Return code 498


From   DE SOUZA Eric <eric.de_souza@coleurope.eu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: SVAR: Return code 498
Date   Mon, 9 May 2011 16:27:46 +0200

The instructions below work. The model is over-identified.


Eric de Souza
College of Europe
Brugge (Bruges), Belgium
http://www.coleurope.eu
 

set more off
log using irf3.log
use http://www.stata-press.com/data/r11/lutkepohl2
matrix A = (1,0,0\.,1,0\0,.,1)
matrix B = (.,0,0\0,.,0\0,0,.)
svar dln_inv dln_inc dln_consump if qtr<=tq(1978q4), aeq(A) beq(B) var dfk
matrix Aest = e(A)
matrix Best = e(B)
matrix chol_est = inv(Aest)*Best
matrix list chol_est
matrix sig_var = e(Sigma)
matrix chol_var = cholesky(sig_var)
matrix list chol_var
irf create aqmch11irf_2, set(aqmch11)  step(10)
irf graph sirf, impulse(dln_inc) response(dln_consump)
graph export aqmch11irf_1.emf
des
log close
set more on

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Charles Koss
Sent: 09 May 2011 16:08
To: Stata List
Subject: st: SVAR: Return code 498

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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