Oops, didnt read the "recursive" part of the question
On 8/26/05, Sergio Correia <[email protected]> wrote:
> I *think* he is talking about a model like Y1 = f(Y2, L.Y1, L.Y2).
> That is, endogenous variable don't only enter as lags.
>
> The answer depends on the structure of your model. I'm not very
> familiar with -var- in Stata, but probably it will just estimate the
> reduced form of the model. Afterwards, you can use the cholesky
> decomposition to get the orthogonalized errors, and the true
> parameters (assuming the restrictions that cholesky makes). On the
> other hand, you can try with -svar- if you want to impose further
> restrictions to the model structure.
>
> Sergio
>
>
> On 8/26/05, Theodorou, C. <[email protected]> wrote:
> > hello, i am using VAR on stata but i am not sure i understand your question
> >
> > can you elaborate on the "current values of the variables"
> >
> > best
> > costas
> >
> > -----Original Message-----
> > From: [email protected]
> > [mailto:[email protected]]On Behalf Of James Woo
> > Sent: 26 August 2005 18:25
> > To: [email protected]
> > Subject: Statalist: recursive VAR
> >
> >
> > I am trying to run a recursive VAR (vector autoregression) in which some
> > equation(s) of the VAR system contains the current value of other
> > variable(s) , not just past values of the variables.
> >
> > I wonder if Stata allows for including some of the current values of
> > variable(s).
> > Anyone who is familiar with VAR in Stata, please reply.
> >
> > Many thanks!
> >
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