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


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.
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