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From | Robert A Yaffee <bob.yaffee@nyu.edu> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: OIRF |
Date | Sun, 27 Mar 2011 13:12:11 -0400 |
Max, You should read the Stock and Watson article on Vector Autoregressions. On page 103 of that 2001 article in the Journal of Economic Perspectives, they write that " A recursive VAR constructs the error terms in each regression equation to be uncorrelated with the error in the preceding equations." Also, you might run the Granger causality tests to help you with the answer. For the OIRF, order is critically important. - Regards, Robert Robert A. Yaffee, Ph.D. Research Professor Silver School of Social Work New York University Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf CV: http://homepages.nyu.edu/~ray1/vita.pdf ----- Original Message ----- From: Max Fotbollen <praktiskbox@live.se> Date: Sunday, March 27, 2011 10:24 am Subject: st: OIRF To: statalist@hsphsun2.harvard.edu > Hi, > I am running a VAR model with three equation. I choose to get OIRF. My > question is regardning the order of variable i set into the analysis. > Do i start with the most endogenous variable or the most exogenous > variable should come first? > > Thanks a lot for a respond on this matter, > > Max > * > * 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/ * * 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/