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From |
Karlygash Kuralbayeva <kkuralb@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: VAR with Granger causal ordering |

Date |
Fri, 4 May 2012 21:10:34 +0100 |

Dear all: I need to estimate a VAR with strict exogeneity assumption (or Granger causal ordering), where the first variable is strictly exogenous: x(t) = x(t-1) + x(t-2) + error y(t) = x(t) + x(t-1) + x(t-2) + y(t-1) + y(t-2) + z(t-1) + z(t-2) + error z(t) = x(t) + x(t-1) + x(t-2) + y(t-1) + y(t-2) + z(t-1) + z(t-2) + error Note that in 2nd and 3rd equations allows for contemporaneous effect of x(t) on endogenous variables. I use –svar- with constraints. Why do I get the error message that I need more identification constraints? And why do years appear in the error message against each constraint? Many thanks for your help. Here is the Stata code: gen date=yq(year, q) format date %tq sort date tsset date constraint 1 [x]L.y = 0 constraint 2 [x]L2.y = 0 constraint 3 [x]L.y = 0 constraint 4 [x]L2.y = 0 matrix A = (1,0,0\.,1,0\.,0,1) matrix B = (1,0,0\.,.,.\.,.,.) svar x y z, aeq(A) beq(B) lags(1/2) Error message: With the current starting values, the constraints are not sufficient for identification The constraints placed on A and B are 1992: [a_1_1]_cons = 1 1991: [a_1_2]_cons = 0 1990: [a_1_3]_cons = 0 1989: [a_2_2]_cons = 1 1988: [a_2_3]_cons = 0 1987: [a_3_2]_cons = 0 1986: [a_3_3]_cons = 1 1985: [b_1_1]_cons = 1 1984: [b_1_2]_cons = 0 1983: [b_1_3]_cons = 0 These constraints place 10 independent constraints on A and B The order condition requires at least 12 constraints. Identification requires a rank of 18, but the identification matrix only has rank 15 r(498); * * 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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