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st: SVAR long and short run restrictions simultaneously
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Subject
st: SVAR long and short run restrictions simultaneously
Date
Wed, 7 Jul 2010 12:26:40 +0100
Based on Gali's 1992 paper fitting ISLM model to postwar US data, I wish
to use Stata to conduct a SVAR (4-variate) analysis which implements long
and short run (LR and SR) restrictions simultaneously.
Stata cannot do both simultaneously with its usual options of the 'svar'
command (aeq, acns, beq, bcns, lreq, lrcns). If you were to only request
one of LR or SR restrictions you could do so with the necessary nonlinear
restrictions, but Stata will only permit linear restrictions. Hence the
problem. If anyone is able to, or has in the past found a way to get
around this or programme it, I would be incredibly grateful for a
response.
Many thanks,
David
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