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st: structural var
From
anna steccati <[email protected]>
To
[email protected]
Subject
st: structural var
Date
Wed, 3 Mar 2010 13:47:48 +0100
Dear all,
I need to estimate a structural VAR with 2 equations as follows:
x(t)=x(t-1)+…+x(t-5)+y(t)+…+y(t-5)
y(t)=y(t-1)+…+y(t-5)+x(t-1)+…+x(t-5)
The presence of the contemporaneous term y in the first equation makes it
impossible to estimate it with the var command.
Is there a way to estimate the model with the SVAR command? Should I add
more identification restrictions?
Thank you,
Anna
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