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st: VAR with exogenosu variable that follows AR(p) process
From
Karlygash Kuralbayeva <[email protected]>
To
[email protected]
Subject
st: VAR with exogenosu variable that follows AR(p) process
Date
Thu, 12 Apr 2012 19:06:46 +0100
Dear all,
I need to estimate the following VAR (and report its IRFs) with an
exogenous variable that itself follows AR(p) process:
x(t)=L(q)x(t-1)+L(s)y(t) + error
y(t)=L)(p)y(t-1) + error,
where x(t) is a vector of endogenous variables, and y(t) is an
exogenous variable.
The first equation is a standard VAR, which can be easily estimated in
Stata. Is there a way to estimate the model with both equations with
the VAR command? Or should I estimate it with e.g., SUR?
Thank you.
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