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From | Nick Cox <njcoxstata@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: SVAR estimation with Stata |
Date | Wed, 4 May 2011 08:48:19 +0100 |
It would have been helpful to all to have 1. Posted your second message as a reply to people who replied to you, not as a new post with the same title. 2. Thanked them for their contributions. 3. Explained what was new about your posting. Nick On Wed, May 4, 2011 at 4:17 AM, <ting.wang@yale.edu> wrote: > 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? * * 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/