Re: [Gretl-users] svar inquiry
On Thu, 3 Jul 2014, Deborah Sy wrote:
Hi Jack,
Yes, the one I used is the one posted few days ago. I also tried 2 other
combinations of the matrices but none of them seems to work. The error
shown for the three trials is the same as above.
I believe that the model you posted is under-identified. The funny thing
is, my checking procedures don't spot it as such. It may be a problem with
my code or, possibly, a problem with the algorithm itself. I'm working on
this. For the moment, your best bet is to increase the number of
restrictions and try to achieve identification.
By the way, however, your model seems to imply that Var1 and Var6 must be
incorrelated, as they share no structural shocks. Are you sure this is
intended?
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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