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st: Identifying the matrix of a SVAR


From   "Nwoye, Arinze" <A.V.Nwoye@warwick.ac.uk>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: Identifying the matrix of a SVAR
Date   Wed, 18 Jul 2012 15:05:34 +0000

I am using Stata 12.1 and I have a 6*6 matrix and I have identifed the matrix on Stata and tried to run the SVAR but I keep getting errors. This is how I identified the A and B matrix in Stata

.matrix A=(1,.,0,0,0,0\.,1,0,0,0,0\.,.,1,0,.,0\0,0,.,1,.,.\.,.,.,.,1,.\0,0,.,0,.,1)
.matrix B = (.,0,0,0,0,0\0,.,0,0,0,0\0,0,.,0,0,0\0,0,0,.,0,0\0,0,0,0,.,0\0,0,0,0,0,.)
.svar  industrialproduction cpi mfiloans M2 lendingrate baserate, lags(1/3) aeq(A) beq(B) iterate(1000) nolog

The result I get is:

With the current starting values, the constraints are not sufficient for
identification
The constraints placed on A and B are 
  1999:  [a_1_1]_cons = 1
  1998:  [a_1_3]_cons = 0
  1997:  [a_1_4]_cons = 0
  1996:  [a_1_5]_cons = 0
  1995:  [a_1_6]_cons = 0
  1994:  [a_2_2]_cons = 1
  1993:  [a_2_3]_cons = 0
  1992:  [a_2_4]_cons = 0
  1991:  [a_2_5]_cons = 0
  1990:  [a_2_6]_cons = 0
  1989:  [a_3_3]_cons = 1
  1988:  [a_3_4]_cons = 0
  1987:  [a_3_6]_cons = 0
  1986:  [a_4_1]_cons = 0
  1985:  [a_4_2]_cons = 0
  1984:  [a_4_4]_cons = 1
  1983:  [a_5_5]_cons = 1
  1982:  [a_6_1]_cons = 0
  1981:  [a_6_2]_cons = 0
  1980:  [a_6_4]_cons = 0
  1979:  [a_6_6]_cons = 1
  1978:  [b_1_2]_cons = 0
  1977:  [b_1_3]_cons = 0
  1976:  [b_1_4]_cons = 0
  1975:  [b_1_5]_cons = 0
  1974:  [b_1_6]_cons = 0
  1973:  [b_2_1]_cons = 0
  1972:  [b_2_3]_cons = 0
  1971:  [b_2_4]_cons = 0
  1970:  [b_2_5]_cons = 0
  1969:  [b_2_6]_cons = 0
  1968:  [b_3_1]_cons = 0
  1967:  [b_3_2]_cons = 0
  1966:  [b_3_4]_cons = 0
  1965:  [b_3_5]_cons = 0
  1964:  [b_3_6]_cons = 0
  1963:  [b_4_1]_cons = 0
  1962:  [b_4_2]_cons = 0
  1961:  [b_4_3]_cons = 0
  1960:  [b_4_5]_cons = 0
  1959:  [b_4_6]_cons = 0
  1958:  [b_5_1]_cons = 0
  1957:  [b_5_2]_cons = 0
  1956:  [b_5_3]_cons = 0
  1955:  [b_5_4]_cons = 0
  1954:  [b_5_6]_cons = 0
  1953:  [b_6_1]_cons = 0
  1952:  [b_6_2]_cons = 0
  1951:  [b_6_3]_cons = 0
  1950:  [b_6_4]_cons = 0
  1949:  [b_6_5]_cons = 0
These constraints place 51 independent constraints on A and B
The order condition requires at least 51 constraints.
Identification requires a rank of 72, but the identification matrix only has
rank 71

I want Stata to run a SVAR with an Exactly Identified Model. Unfortunately for me this only works without error in a cholesky decomposition. How do i make it work with my identification?

 

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