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st: RE: SVAR estimation question


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
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