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From | Maximilian Rodel <Maximilian.Roedel@gmx.de> |
To | <statalist@hsphsun2.harvard.edu> |
Subject | st: IRF and Cholesky Order: Inconsistent Results |
Date | Mon, 6 Sep 2010 17:52:15 +0200 |
Hi, I am estimating a VAR that is based on several financial performance series and macroeconomic variables. Goal is to understand the reactions to a shock using an IRF. In its simplest form the VAR includes eight time series (all endogenously) and one lag (VAR(1)). When specifying the Cholesky order I recognized some seemingly inconsistent results. 1. ONE specific Cholesky order returns MULTIPLE results if the variables in the VAR change order (while the coefficient matrix of the VAR is 100% identical). 2. Specifying an EXPLICIT Cholesky order returns DIFFERENT results than SAME DEFAULT Cholesky order. The VAR coefficients are estimated 100% identically. [see below for code examples. I have the same issue in stata version 9.2 and 11] Both observations are somehow interlinked. What is going wrong here? Any experience with this Cholesky "randomness"? Thanks so much, Max Code Examples, ad 1: ==================== *** Alternative 1 *** local tEndoVars = "`tCountry'infcpi `tCountry'bndbil `tCountry'bndlde `tCountry'comcid `tCountry'reslis `tCountry'eqtcou `tCountry'othtsp `tCountry'othdiv" var `tEndoVars' if tPeriod > 0 , lags(1) local tEndoCholOrder = "`tCountry'infcpi `tCountry'comcid `tCountry'eqtcou `tCountry'reslis `tCountry'bndlde `tCountry'bndbil `tCountry'othtsp `tCountry'othdiv" irf create order1, step(100) order(`tEndoCholOrder') set(myirf1, replace) *** End Alternative 1 *** vs. *** Alternative 2 *** local tEndoVars = "`tCountry'bndbil `tCountry'bndlde `tCountry'comcid `tCountry'reslis `tCountry'eqtcou `tCountry'othtsp `tCountry'othdiv `tCountry'infcpi" *** Rest as above; End Alternative 2 *** ==> Estimate VAR Coefficients 100% identical ==> Resulting IRF significantly different (e.g. often only series swapped; sometimes completely different shapes/ values) Code Examples, ad 2: ==================== *** Alternative 1 *** As above *** Alternative 2 with VAR ordered as in Cholesky order and Default ordering in IRF *** local tEndoVars = "`tCountry'infcpi `tCountry'comcid `tCountry'eqtcou `tCountry'reslis `tCountry'bndlde `tCountry'bndbil `tCountry'othtsp `tCountry'othdiv" var `tEndoVars' if tPeriod > 0 , lags(1) irf create order1, step(100) set(myirf1, replace) *** End Alternative 2 *** ==> Estimate VAR Coefficients 100% identical ==> Resulting IRF significantly different (e.g. often only series swapped; sometimes completely different shapes/ values) * * 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/