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Re: st: RE: SVAR estimation question


From   Charles Koss <hqtiger@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: SVAR estimation question
Date   Wed, 11 May 2011 09:12:56 -0500

Thank you Dr. de Souza, I appreciate it

Charles

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

On Tue, May 10, 2011 at 1:48 PM, DE SOUZA Eric
<eric.de_souza@coleurope.eu> wrote:
> 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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