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st: Identifying the matrix of a SVAR
From
"Nwoye, Arinze" <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: Identifying the matrix of a SVAR
Date
Wed, 18 Jul 2012 15:05:34 +0000
I am using Stata 12.1 and I have a 6*6 matrix and I have identifed the matrix on Stata and tried to run the SVAR but I keep getting errors. This is how I identified the A and B matrix in Stata
.matrix A=(1,.,0,0,0,0\.,1,0,0,0,0\.,.,1,0,.,0\0,0,.,1,.,.\.,.,.,.,1,.\0,0,.,0,.,1)
.matrix B = (.,0,0,0,0,0\0,.,0,0,0,0\0,0,.,0,0,0\0,0,0,.,0,0\0,0,0,0,.,0\0,0,0,0,0,.)
.svar industrialproduction cpi mfiloans M2 lendingrate baserate, lags(1/3) aeq(A) beq(B) iterate(1000) nolog
The result I get is:
With the current starting values, the constraints are not sufficient for
identification
The constraints placed on A and B are
1999: [a_1_1]_cons = 1
1998: [a_1_3]_cons = 0
1997: [a_1_4]_cons = 0
1996: [a_1_5]_cons = 0
1995: [a_1_6]_cons = 0
1994: [a_2_2]_cons = 1
1993: [a_2_3]_cons = 0
1992: [a_2_4]_cons = 0
1991: [a_2_5]_cons = 0
1990: [a_2_6]_cons = 0
1989: [a_3_3]_cons = 1
1988: [a_3_4]_cons = 0
1987: [a_3_6]_cons = 0
1986: [a_4_1]_cons = 0
1985: [a_4_2]_cons = 0
1984: [a_4_4]_cons = 1
1983: [a_5_5]_cons = 1
1982: [a_6_1]_cons = 0
1981: [a_6_2]_cons = 0
1980: [a_6_4]_cons = 0
1979: [a_6_6]_cons = 1
1978: [b_1_2]_cons = 0
1977: [b_1_3]_cons = 0
1976: [b_1_4]_cons = 0
1975: [b_1_5]_cons = 0
1974: [b_1_6]_cons = 0
1973: [b_2_1]_cons = 0
1972: [b_2_3]_cons = 0
1971: [b_2_4]_cons = 0
1970: [b_2_5]_cons = 0
1969: [b_2_6]_cons = 0
1968: [b_3_1]_cons = 0
1967: [b_3_2]_cons = 0
1966: [b_3_4]_cons = 0
1965: [b_3_5]_cons = 0
1964: [b_3_6]_cons = 0
1963: [b_4_1]_cons = 0
1962: [b_4_2]_cons = 0
1961: [b_4_3]_cons = 0
1960: [b_4_5]_cons = 0
1959: [b_4_6]_cons = 0
1958: [b_5_1]_cons = 0
1957: [b_5_2]_cons = 0
1956: [b_5_3]_cons = 0
1955: [b_5_4]_cons = 0
1954: [b_5_6]_cons = 0
1953: [b_6_1]_cons = 0
1952: [b_6_2]_cons = 0
1951: [b_6_3]_cons = 0
1950: [b_6_4]_cons = 0
1949: [b_6_5]_cons = 0
These constraints place 51 independent constraints on A and B
The order condition requires at least 51 constraints.
Identification requires a rank of 72, but the identification matrix only has
rank 71
I want Stata to run a SVAR with an Exactly Identified Model. Unfortunately for me this only works without error in a cholesky decomposition. How do i make it work with my identification?
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