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From | D.Ronayne@warwick.ac.uk |
To | statalist@hsphsun2.harvard.edu |
Subject | st: SVAR long and short run restrictions simultaneously |
Date | Wed, 7 Jul 2010 12:26:40 +0100 |
Based on Gali's 1992 paper fitting ISLM model to postwar US data, I wish to use Stata to conduct a SVAR (4-variate) analysis which implements long and short run (LR and SR) restrictions simultaneously. Stata cannot do both simultaneously with its usual options of the 'svar' command (aeq, acns, beq, bcns, lreq, lrcns). If you were to only request one of LR or SR restrictions you could do so with the necessary nonlinear restrictions, but Stata will only permit linear restrictions. Hence the problem. If anyone is able to, or has in the past found a way to get around this or programme it, I would be incredibly grateful for a response. Many thanks, David * * 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/