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st: Standard errors on structural VAR coefficients
From
Jeremy Kronick <[email protected]>
To
Statalist <[email protected]>
Subject
st: Standard errors on structural VAR coefficients
Date
Wed, 7 Nov 2012 14:17:45 -0500
I have a run a structural VAR in Stata with exogenous variables and was hoping to use the coefficients estimtated in one of the equations within the VAR. The true coefficients are not the ones Stata provides as they need to be pre-multiplied by the A matrix that makes it structural.
This is fine however I need to be able to calculate the new standard errors for these new coefficients as my understanding is they change once the A matrix is used. I am not sure how to do this and thus cannot determine significance.
Any help would be greatly appreciated.
Thanks!
Jeremy Kronick
PhD Student
Brandeis University
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