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st: RE: SVAR estimation question
From
DE SOUZA Eric <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: RE: SVAR estimation question
Date
Tue, 10 May 2011 20:48:44 +0200
This is common practice in estimating simultaneous equation models, of which an SVAR is a particular case. One "concentrates out" the variance covariance matrix and then maximises with respect to the remaining parameters.
Indeed maximum likelihood estimation of a linear regression model (y = x.beta + u) with homoscedastic errors is often (always ?) presented in this way in textbooks.
Eric de Souza
College of Europe
Brugge (Bruges), Belgium
http://www.coleurope.eu
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of Charles Koss
Sent: 10 May 2011 18:01
To: Stata List
Subject: st: SVAR estimation question
Dear list members:
Does someone knows why stata estimates SVAR models using the concentrated likelihood function instead of estimating simultaneously the parameters of the underlying var altogether with matrices A and B?
what is the logic of this conditional estimation?
Reference page in stata 11: 405
Thank you,
Charles
--
Charles Koss
http://charlesonnet.blogspot.com
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