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From |
agfa1970@gmx.de |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: instrumental variables, reg3, simultaneous equation model, var |

Date |
Wed, 24 Feb 2010 16:53:15 +0100 |

Dear all: The following text my appear long, but it is very precise (and probably easy stuff). I estimated the following VAR(2): F_{t} = F_{t-1} + F_{t-2} +...+R_{t-1} + R_{t-2} +...+u_{t} R_{t} = F_{t-1} + F_{t-2} +...+R_{t-1} + R_{t-2} +...+u_{t} Now I would like to insert contemporaneous values on the right - hand - side of the VAR which would become a structural VAR. For identification and because of endogeneity, I would need 1 restriction, ie. I could either estimate F_{t} = R_{t} + F_{t-1} + F_{t-2} +...+R_{t-1} + R_{t-2} +...+u_{t} R_{t} = F_{t-1} + F_{t-2} +...+R_{t-1} + R_{t-2} +...+u_{t} or F_{t} = F_{t-1} + F_{t-2} +...+R_{t-1} + R_{t-2} +...+u_{t} R_{t} = F_{t} + F_{t-1} + F_{t-2} +...+R_{t-1} + R_{t-2} +...+u_{t} with a normal Choleski-Decomposition. As I have a bigger VAR as in this example, I cannot enter that many restrictions (long-run restrictions are neither possible because I have no theory!). Now comes my point and problem: I wonder whether I could estimate F_{t} = R_{t} + F_{t-1} + F_{t-2} +...+R_{t-1} + R_{t-2} +...+u_{t} R_{t} = F_{t} + F_{t-1} + F_{t-2} +...+R_{t-1} + R_{t-2} +...+u_{t} and fight the obvious endogeneity by 3SLS or the STATA command reg3 ?? I have 4 instruments (which I do not want to appear on the right hand side of the equations if possible as I would not have the original VAR any more) with which I would like to "replace" the contemporaneous right hand side variables R_{t} and F_{t}. Would this work? I really searched a long time but could not find any information regarding 3SLS (or GMM) and estimation of a structural VAR. If I have to include my instruments on the right hand side of the VAR (which would become a simultanous equation model), could I still use the 3SLS command..? Would GMM be better? Or is there any error in my model/ do I not understand the methodology of instrumental variables right? I tried it without lagged variables and it worked fine (the z's are my instruments): reg3 (F R) (R F), inst(z1 z2 z3 z4) But: reg3 (F R = L.F L.R) (R F = L.F L.R), inst(z1 z2 z3 z4) does not work! STATA says: "Covariance matrix of errors is singular" Where is my mistake?? Is this due to poor instruments? Or is the model not testable at all?? Of course, I read the STATA11 manual beforehand but there's nothing about a simultaneous equation model with lags.. Kind regards Agther F. Dedder -- Sicherer, schneller und einfacher. Die aktuellen Internet-Browser - jetzt kostenlos herunterladen! http://portal.gmx.net/de/go/chbrowser * * 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/

**Follow-Ups**:**Re: st: instrumental variables, reg3, simultaneous equation model, var***From:*"Agrar Fagma" <agfa1970@gmx.de>

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