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st: imposing a constraint on an endogenous variable when using irf createin Stata 9


From   Eyal Dvir <dvir@fas.harvard.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: imposing a constraint on an endogenous variable when using irf createin Stata 9
Date   Sun, 26 Mar 2006 01:42:55 -0500

Hi,

I am trying to find a way to impose a constraint on an endogenous variable when Stata computes impulse response functions using irf create.

I estimated a SVAR of 5 variables, and would like to find a way to force one of the variables to remain constant when the impulse response function is computed. This is following Sims and Zha (1996).

I tried manipulating the SVAR results: I modified e(b_var) and e(b) such that zeros replaced all the coefficients (respectively, lagged and contemporaneous) of the variable in question, using the ereturn command. I then created another impulse response function using irf create.
I succeeded in suppressing the variable's response to lagged values - the modification of e(b_var) was effective - but the contemporaneous response remained the same - the modification of e(b) did not have any effect.
This method is crude, yet I couldn't find a better way - I tried the statalist archives, Googling, as well as the manuals. This method also does not allow me to impose a constraint for some of the steps in the irf, but not for others.

If anyone has a piece of advice for me, I would be very grateful.

Many thanks,

Eyal Dvir
dvir@fas.harvard.edu
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