Re: st: RE: SVAR: Return code 498

[Charles Koss <hqtiger@gmail.com>]

Thank you Dr. de Souza for the follow up, I appreciate it.

Charles

-- 
Charles Koss
http://charlesonnet.blogspot.com

On Mon, May 9, 2011 at 10:54 AM, DE SOUZA Eric
<eric.de_souza@coleurope.eu> wrote:
> Page 184 of the TS manual describes how the bootstrapping is done. This does not seem to allow for constrained variance-covariance matrices, which is exactly what over-identified SVARs require.
>
>
> Eric de Souza
> College of Europe
> Brugge (Bruges), Belgium
> http://www.coleurope.eu
>
>
>
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Charles Koss
> Sent: 09 May 2011 17:29
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: RE: SVAR: Return code 498
>
> Thank you Dr. de Souza, the code worked, I appreciated it!!! In summary, this is what can be concluded:
>
> Stata can produce the standard errors for irfs after svar only  in two
> cases: parametric bootstrap and asymptotic standard errors. When the option of bootstrapped residuals is used, the described error message appears.
>
> Add these lines to the previous code and shall see the error message
> irf create order1,                        step(8)
> irf create order2,  bsp reps(50) step(8)
> irf create order3,  bs   reps(50) step(8)
>
> Therefore, it seems that there is a bug with the bs option. Opinions or comments?
>
> Charles
>
> --
> Charles Koss
> http://charlesonnet.blogspot.com
>
> On Mon, May 9, 2011 at 9:27 AM, DE SOUZA Eric <eric.de_souza@coleurope.eu> wrote:
>> The instructions below work. The model is over-identified.
>>
>>
>> Eric de Souza
>> College of Europe
>> Brugge (Bruges), Belgium
>> http://www.coleurope.eu
>>
>>
>> set more off
>> log using irf3.log
>> use http://www.stata-press.com/data/r11/lutkepohl2
>> matrix A = (1,0,0\.,1,0\0,.,1)
>> matrix B = (.,0,0\0,.,0\0,0,.)
>> svar dln_inv dln_inc dln_consump if qtr<=tq(1978q4), aeq(A) beq(B) var
>> dfk matrix Aest = e(A) matrix Best = e(B) matrix chol_est =
>> inv(Aest)*Best matrix list chol_est matrix sig_var = e(Sigma) matrix
>> chol_var = cholesky(sig_var) matrix list chol_var irf create
>> aqmch11irf_2, set(aqmch11)  step(10) irf graph sirf, impulse(dln_inc)
>> response(dln_consump) graph export aqmch11irf_1.emf des log close set
>> more on
>>
>> -----Original Message-----
>> From: owner-statalist@hsphsun2.harvard.edu
>> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Charles
>> Koss
>> Sent: 09 May 2011 16:08
>> To: Stata List
>> Subject: st: SVAR: Return code 498
>>
>> Dear list members, I am using the command SVAR, but when I calculate the IRFs I obtained an error message as follows:
>> predict may not be used after fitting an overidentified SVAR model to
>> get these statistics for the underlying VAR, fit it with var, then run
>> predict r(498);
>>
>> This is the code I am using:
>>
>> clear
>> set more off
>> use http://www.stata-press.com/data/r11/urates
>> matrix A = (1,0,0\.,1,0\.,0,1)
>> matrix B = (.,0,0\0,.,0\0,0,.)
>> svar missouri indiana kentucky, lags(1/4) aeq(A) beq(B) set seed
>> 05062011 //compare irfs with rats irf create order1,
>> set(jmulti_gretl_stata)  step(16) bs reps(50)
>>
>> I wonder, why the error message appears? When the system is just identified the irfs are calculated. It seems that the irfs can not be calculated when the system is overidentified. As such, it seems to me that the estimation of the irfs do not take advantage of short run restrictions when the system is just identified. Any commenst on this issue? Your help will be appreciated.
>>
>> Thank you,
>>
>> Charles
>>
>> --
>> Charles Koss
>> http://charlesonnet.blogspot.com
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