On Sat, 3 Nov 2012, Pindar wrote:
Update 2:
There is a small bug in the SVAR package when writing the free parameters
into the model (in the last step).
Just run the hansl snippet.
Not really a bug. The vector containing the unrestricted parameters only
is implicitly defined by the relationship (allow me to use LaTeX)
\[
\theta = S \gamma + s
\]
where $\theta$ contains the total vector of parameters and $\gamma$ the
unrestricted ones. Now, in the SVAR package the matrix $S$ is
automatically defined via the constraint matrices in implicit form $R
\theta = d$ through the relationships $RS = 0$ and $Rs = d$. This means
that $S$ is defined up to post-multiplication by an arbitrary invertible
matrix. As a consequence, you can change the ordering of the columns of
$S$ in any way you want, but of course this will affect the ordering of
the elements of $\gamma$; this fact, however, is observationally
inconsequential.
I found 2 typos in the help pdf for the SVAR package, and the
references are
only "?" (a bibtex problem):
1. p10 under 2.4: it's $\frac { n(n-1) }{ 2 } $ restrictions
2. p. 21 under SVAR.cumulate: Stores into the model
Done, thanks.
>> a) In his book on page 367 (section 9.1.3) the Rd matrix
(following the
>> notation of Jack) seems to me wrong.
It is, there's a typo for the R matrix with the constarints for the A
matrix. Element [5,2] of R should be 0 instead of 1. Typical copy-n-paste
mishap. I guess you ought to tell Helmut for the next edition of his book.
--------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
--------------------------------------------------