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From |
Karlygash Kuralbayeva <kkuralb@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: VAR with exogenosu variable that follows AR(p) process |

Date |
Thu, 12 Apr 2012 19:06:46 +0100 |

Dear all, I need to estimate the following VAR (and report its IRFs) with an exogenous variable that itself follows AR(p) process: x(t)=L(q)x(t-1)+L(s)y(t) + error y(t)=L)(p)y(t-1) + error, where x(t) is a vector of endogenous variables, and y(t) is an exogenous variable. The first equation is a standard VAR, which can be easily estimated in Stata. Is there a way to estimate the model with both equations with the VAR command? Or should I estimate it with e.g., SUR? Thank you. * * 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/

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