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Re: st: RE: command: svar in Stata11

 From Syed Basher <[email protected]> To [email protected] Subject Re: st: RE: command: svar in Stata11 Date Fri, 24 Dec 2010 02:13:41 -0800 (PST)

```Hello Peter,

I also got exactly the same output that Eric mentioned below. Hope you will be
able to find a solution soon.

Syed

http://www.syedbasher.org/

----- Original Message ----
From: DE SOUZA Eric <[email protected]>
To: "[email protected]" <[email protected]>
Sent: Fri, December 24, 2010 12:12:13 PM
Subject: st: RE: command: svar in Stata11

This is what  I get with your instructions ( verion 11.1):
. webuse m1gdp
.
. matrix lr = (.,0\0,.)
.
. svar d.ln_m1 d.ln_gdp, lreq(lr)
Estimating long-run parameters

Iteration 0:   log likelihood = -27.958026
Iteration 1:   log likelihood =  895.37393
Iteration 2:   log likelihood =  1116.3226
Iteration 3:   log likelihood =  1150.8327
Iteration 4:   log likelihood =  1151.6135
Iteration 5:   log likelihood =  1151.6143
Iteration 6:   log likelihood =  1151.6143

Structural vector autoregression

( 1)  [c_1_2]_cons = 0
( 2)  [c_2_1]_cons = 0

Sample:  1959q4 - 2002q2                           No. of obs      =       171
Overidentified model                               Log likelihood  =  1151.614

------------------------------------------------------------------------------
|      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
/c_1_1 |   .0301007   .0016277    18.49   0.000     .0269106    .0332909
/c_2_1 |  (omitted)
/c_1_2 |  (omitted)
/c_2_2 |   .0129691   .0007013    18.49   0.000     .0115946    .0143436
------------------------------------------------------------------------------
LR test of identifying restrictions:  chi2(  1)=    .1368  Prob > chi2 = 0.712

Eric de Souza
College of Europe
Brugge (Bruges), Belgium
http://www.coleurope.eu

-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Peter Claeys
Sent: 24 December 2010 09:27
To: [email protected]
Subject: st: command: svar in Stata11

Dear all,

I am using Stata11 to set up an SVAR model. Before going to program my own
material, I tried to replicate the examples on the SVAR Help.

I get an error message, after doing these 3 lines, telling me the following:

webuse m1gdp
matrix lr = (.,0\0,.)
svar d.ln_m1 d.ln_gdp, lreq(lr)

r125
numdepvars() invalid -- invalid number, outside of allowed range

So it seems that if I have 2 variables, the program does not understand I have a
2x2 matrix with restriction (or vice versa).

I checked, and updated, my Stata11 license, and even with the most recent
update, I get this message. Is there some practical issue I am overlooking?

thanks a lot,

Peter

--
Peter Claeys
Grup AQR IREA, Universitat de Barcelona
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