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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? * * 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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