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RE: st: SVAR estimation with Stata
From
DE SOUZA Eric <[email protected]>
To
"[email protected]" <[email protected]>
Subject
RE: st: SVAR estimation with Stata
Date
Tue, 3 May 2011 09:59:13 +0200
Yes. The problem is that the diagonal elements of both the A and the B matrix are being constrained to unity.
Eric de Souza
College of Europe
Brugge (Bruges), Belgium
http://www.coleurope.eu
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of Syed Basher
Sent: 03 May 2011 07:32
To: [email protected]
Subject: Re: st: SVAR estimation with Stata
Hi,
I think your B matrix is not correctly specified. Replace "1" with "." in your B matrix, it should work. Have a look at the the Stata manual (var svar), it is useful.
--
Syed Abul Basher
Qatar Central Bank
P.O. Box 1234
Doha, Qatar.
http://www.syedbasher.org/
----- Original Message -----
> From: "[email protected]" <[email protected]>
> To: [email protected]
> Cc:
> Sent: Tuesday, May 3, 2011 5:22 AM
> Subject: Re: st: SVAR estimation with Stata
>
> Dear all,
>
> I am running Structural VAR model with Stata. Suppose the
> contemporaneous coefficient matrix is G0, that is,
>
> e(t)=G0*u(t),
>
> where e(t) is the structural error and u(t) is the error of the
> reduced form VAR.
>
> My inquiry is about how to set up the A and B matrix in Stata based on
> G0. Is B matrix supposed to be an identity matrix? How do we involve
> lags in structural VAR estimation? If G0 is considered to be
> instantaneous, does it really matter how many lags to include in the model?
>
> Here is the codes I used in Stata. It does not converge when we carry
> out a maximum likelihood estimation. Iteration only goes on forever,
> which forces me to limit the maximum number of iterations.
>
> matrix A (exactly the G0 matrix)
> =(1,.,0,0,.,0,.\.,1,.,.,0,0,0\0,0,1,.,.,0,0\0,0,0,1,.,0,0\0,0,0,0,1,0,
> 0\0,0,0,0,.,1,0\.,.,.,.,.,.,1)
> matrix B
> =(1,0,0,0,0,0,0\0,1,0,0,0,0,0\0,0,1,0,0,0,0\0,0,0,1,0,0,0\0,0,0,0,1,0,
> 0\0,0,0,0,0,1,0\0,0,0,0,0,0,1)
>
> svar `varlist', lags(1/6) aeq(A) beq(B)
>
> I hope someone can help with this. Thank you very much. I really appreciate it.
>
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>
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