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Re: st: Logit VAR


From   Jorge Eduardo Pérez Pérez <[email protected]>
To   "[email protected]" <[email protected]>
Subject   Re: st: Logit VAR
Date   Sun, 16 Feb 2014 12:52:02 -0500

If I remember correctly vector autorregressions are available in Stata
12. And anyway, VARs can be estimated using -sureg-, or even using
equation by equation OLS, although -sureg- would give you the proper
standard errors.

You could start by estimating the VAR ignoring the binary nature of Y,
using an adjustment for heteroscedasticity, and checking that your
forecasts for Y lie between 0 and 1.

Or you could use -nlsur-, using a logistic transformation for your
right hand side on the equation for Y.




--------------------------------------------
Jorge Eduardo Pérez Pérez
Graduate Student
Department of Economics
Brown University


On Fri, Feb 14, 2014 at 7:37 AM, Nima Darbari <[email protected]> wrote:
> Since I have received no replies to my post which I admit has been
> quite rare, I thought maybe I have not explained myself well. This is
> the system I want to estimate:
>
> Y(t)=C1+Y(t-1)+X(t-1)+P(t-1)+Z(t-1)+e.Y
> Z(t)=C2+Z(t-1)+X(t-1)+V(t-1)+Y(t)+e.Z
> (Y is binary)
>
> On Thu, Feb 13, 2014 at 9:38 AM, Nima Darbari <[email protected]> wrote:
>> I need to estimate a simultaneous dynamic (one lag of each one of the
>> two dependent variables) system with a binary and a continuous
>> dependent variable and several exogenous variables. I think it is
>> possible in Stata 13 via VAR estimation but is there any solution for
>> it in Stata 12?
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