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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 * * 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: RE: SVAR: Return code 498***From:*Charles Koss <hqtiger@gmail.com>

**References**:**st: SVAR: Return code 498***From:*Charles Koss <hqtiger@gmail.com>

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