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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 estimation question |

Date |
Tue, 10 May 2011 20:48:44 +0200 |

This is common practice in estimating simultaneous equation models, of which an SVAR is a particular case. One "concentrates out" the variance covariance matrix and then maximises with respect to the remaining parameters. Indeed maximum likelihood estimation of a linear regression model (y = x.beta + u) with homoscedastic errors is often (always ?) presented in this way in textbooks. Eric de Souza College of Europe Brugge (Bruges), Belgium http://www.coleurope.eu -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Charles Koss Sent: 10 May 2011 18:01 To: Stata List Subject: st: SVAR estimation question Dear list members: Does someone knows why stata estimates SVAR models using the concentrated likelihood function instead of estimating simultaneously the parameters of the underlying var altogether with matrices A and B? what is the logic of this conditional estimation? Reference page in stata 11: 405 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 estimation question***From:*Charles Koss <hqtiger@gmail.com>

**References**:**st: SVAR estimation question***From:*Charles Koss <hqtiger@gmail.com>

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