Sebastien,
I think you could set up a do file with your sequential VAR equations specified within it.
After each equation, you could save the e(hqic) or e(sbic) and compare them to ascertain
which is the lowest.
Regards,
Bob Yaffee
Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University
Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2008.pdf
CV: http://homepages.nyu.edu/~ray1/vita.pdf
----- Original Message -----
From: Sebastian Kruk <[email protected]>
Date: Wednesday, December 24, 2008 3:05 pm
Subject: st: restricted VAR for preselection of instruments
To: [email protected]
> Dear stalistusers,
>
> I would like to do a preselection of possible instruments within a
> VAR. The two endogenous variables variables π(t+1) and s(t) are
> regressed on all potential instruments. This specification can be
> formalized as:
>
> π(t+1)=v1+A11*π(t-1)+A12*π(t-2)+...+A1j*π(t-j)+B11*x(t-1)+B12*x(t-2)+...+B1j*x(t-j)
> s(t)=v2+A21*s(t-1)+A22*s(t-2)+...+A2j*π(t-j)+B21*x(t-1)+B22*x(t-2)+...+B2j*x(t-j)
>
> with v1,v2 a a deterministic term, and x(t−j) the vector of all other
> predetermined variables with lag j. The maximal lag length is L1 = 10
> and L2 = 5.
>
> Can I apply a model reduction procedure that works through a
> sequential elimination of regressors in order to obtain a model that
> lead to the smallest value of the particular information criterion as
> Lutkepohl, H. (2005). New introduction to multiple time series
> analysis, Springer?
>
> I follow Scheufele R. (2008). Evaluating the German (New Keynesian)
> Phillips Curve, IWH-Diskussionspapiere 10/2008.
>
> Thanks in advance,
>
> Sebastian.
> *
> * 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/
> *
> * 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/
*
* 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/
