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Re: st: structural var
From
Robert A Yaffee <[email protected]>
To
[email protected]
Subject
Re: st: structural var
Date
Wed, 03 Mar 2010 18:13:22 -0500
Anna,
You might want to look into the formulation of a mixture model.
Regards,
Robert
Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University
Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf
CV: http://homepages.nyu.edu/~ray1/vita.pdf
----- Original Message -----
From: anna steccati <[email protected]>
Date: Wednesday, March 3, 2010 8:40 am
Subject: st: structural var
To: [email protected]
> Dear all,
>
>
>
> I need to estimate a structural VAR with 2 equations as follows:
>
> x(t)=x(t-1)+…+x(t-5)+y(t)+…+y(t-5)
>
> y(t)=y(t-1)+…+y(t-5)+x(t-1)+…+x(t-5)
>
>
>
> The presence of the contemporaneous term y in the first equation makes
> it
> impossible to estimate it with the var command.
>
> Is there a way to estimate the model with the SVAR command? Should I add
> more identification restrictions?
>
>
> Thank you,
>
> Anna
>
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