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st: exogenous variables in single SVAR / VAR equations
From
Lauricio Baletti <[email protected]>
To
[email protected]
Subject
st: exogenous variables in single SVAR / VAR equations
Date
Sat, 13 Nov 2010 15:05:11 +0100
Dear Statalist Users,
is there a possibility to include exogenous variables in single SVAR /
VAR equations? I'm estimating VARs and SVARs with 3 endogenous
variables. There is a structural break in two variables. Therefore I
want to include two dummy variables into the two corresponding
equations: (i) impulse dummy (break date = 1) (ii) shift dummy (after
break date = 1). How do I implement this approach in STATA?
Thanks a lot!
Greets Lauricio
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