st: long run restrictions in structural var (SVAR)

[Fabian Irek <fabian.irek@student.uni-tuebingen.de>]

I have a rather statistical question, but since I use STATA10 I  
thought it could be posted here.

I estimated a six - variable VAR and performed granger-causality  
tests. I would like to estimate a SVAR now, so
I need 15 identifying restrictions (N squared minus N and both divided  
by 2). Additionally, some of my variables have a
contemporaneous correlation of zero. My question now: Can I say that  
if the correlation of X and Y is zero AND
if X does not Granger-cause Y that I have a possible long-run  
restriction (say that the sum of all coefficients,lagged and  
contemporaneous, of
X which are related to the contemporaneous Y is zero) then???

I know that both is not exactly, exactly the same, the  
Granger-causality is an overall F-Test which tests if a1=a2=a3=0  
(where the a's are the coefficients on lagged parameters) whereas
the long-run restriction says that the sum of the coefficients (both  
contemporaneous and lagged) is zero.
But is it okay to argument that way?? At the end of the day, I wanna  
have identification because I am interested in the parameters of the  
remaining variables!

Thanks

Fabian


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