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From |
Sören Karau <soerenkarau@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Manipulating SVAR estimates for counterfactual analysis |

Date |
Wed, 20 Apr 2011 14:35:19 +0100 |

Dear Statalist, I am about to conduct counterfactual simulations after using a SVAR model. In order to do so, I use a usual Cholesky decomposition and constrain the A and B matrices like the following (assuming 4 variables in the system): matrix A =3D (1,0,0,0\.,1,0,0\.,.,1,0\.,.,.,1) matrix B =3D (.,0,0,0\0,.,0,0\0,0,.,0\0,0,0,.) I let stata estimate the coefficients. In a second step, I need to manipulate those coefficients in order to simuluate what would happen to the system, if a certain variable did not react to shocks from other variables, while leaving all other estimates as before. If I understood correctly what I read, one can do that by imposing that the cross-correlation between the variables under consideration is set to zero. For instance, if it was variable 4 I was interested in, I would need to change the estimated coefficients of A_[1,4], A_[2,4], A_[3,4] to zero (for all lags), the rest remains as estimated before. How can I do that in stata? I have stored the estimates as a variable, but how can I directly impose that for an impulse reponse analysis stata should use the estimated matrix using my additional restrictions (A_[1,4]=3DA_[2,4]=3DA_[3,4]=3D0)? I would greatly appreciate any help, thank you so much in advance! Soeren Karau Soerenkarau@gmail.com * * 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/

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