Dear statalisters,
I have a question concerning constraints (exclusion restrictions) in VAR
models. David M. Drukker, Stata Corp, posted on Fri, 27 Jun 2003:
'As described in [R] constraint, there is an alternative syntax when
specifying exclusion restrictions. The syntax constraint define #
[equation_name] coefficient_list defines exclusion restrictions for all
the coefficients named in coefficient_list in the specified equation. To
illustrate, I repeat the previous example using this syntax.
. clear
. use http://www.stata-press.com/data/r8/lutkepohl
(Quarterly SA West German macro data, Bil DM, from Lutkepohl 1993 Table
E.1)
. constraint define 2 [dlincome] dlconsumption
. var dlinvestment dlincome , exog(dlconsumption) constraint(2)
Estimating VAR coefficients
Iteration 1: tolerance = .009279
Iteration 2: tolerance = .00221815
Iteration 3: tolerance = .0005265
Iteration 4: tolerance = .00012476
Iteration 5: tolerance = .00002955
Iteration 6: tolerance = 6.999e-06
Iteration 7: tolerance = 1.658e-06
Iteration 8: tolerance = 3.926e-07
Vector autoregression
Constraints:
( 1) [dlincome]dlconsumption = 0
Sample: 1960q4 1982q4
(output omitted)'
So far, so good.
Now I would like to include more than one variable in the
coefficient_list. For example, L.dlincome also should have no effect on
the [dlincome] equation. Syntax:
constraint define 3 [dlincome] dlconsumption L.dlincome
. var dlinvestment dlincome , exog(dlconsumption) constraint(3)
Estimating VAR coefficients
Iteration 1: tolerance = .00095522
Iteration 2: tolerance = .00022329
Iteration 3: tolerance = .00005216
Iteration 4: tolerance = .00001218
Iteration 5: tolerance = 2.845e-06
Iteration 6: tolerance = 6.643e-07
Vector autoregression
Constraints:
( 1) [dlincome]dlconsumption = 0
( 2) [dlinvestment]L.dlincome = 0
( 3) [dlincome]L.dlincome = 0
Sample: 1960q4 1982q4
(output omitted)
Why does stata include a third constraint in the estimation?
Thank you very much for your help.
Falko Juessen.
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