Re: st: SVAR estimation with Stata

[ting.wang@yale.edu]

But I posted new questions about Impulse Responses. And the instructions
indicated previously in the response was the ones I tried before but failed.

Questions:
> > 1. Is it the correct way to involve "lags" to the estimation?
> > 2. The convergence is not achieved, any possible reasons for that?
> > 3. When I create the IRF, Stata was stuck and could not move on. 
> > Does anybody
> > know how this might come across?



Quoting Nick Cox <njcoxstata@gmail.com>:

> This seems to overlap with a question asked and answered earlier.
>
> Nick
>
> On Tue, May 3, 2011 at 10:25 PM,  <ting.wang@yale.edu> wrote:
> > 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.
> >
> > Here is the Stata codes:
> >
> > 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', exog(`dum') lags(1/6) aeq(A) beq(B)
> > {`dum' refers to the 11 dummy variables treated as exogenous}
> >
> > Now create the Impulse Response Function:
> >
> > irf create model2, set(myirf, replace) step(8)
> > irf table fevd, noci {noci is to suppress confidence bands}
> > irf graph oirf, impulse(r) response(cpi) {orthogonalized IRF}
> > irf graph sirf, impulse(r) response(cpi) {structural IRF}
> >
> >
> > Questions:
> > 1. Is it the correct way to involve "lags" to the estimation?
> > 2. The convergence is not achieved, any possible reasons for that?
> > 3. When I create the IRF, Stata was stuck and could not move on. 
> > Does anybody
> > know how this might come across?
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