different IRFs using VAR and VECM
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Hi all,
I am a bit confused about the following. I estimated following two
models which give exactly the same results. The first one uses the
VECM command and the second one the VAR command. For both I compute
the IRF(1,1) but they look different, which should not be the case,
or? Or do I miss something here ...
<hansl>
open denmark
list Y = LRM LRY IBO
scalar lag = 4
scalar rnk = 1
# VECM
vecm lag rnk Y --crt
matrix sigma_vecm = $sigma
matrix oirf11_vecm = irf(1,1,0)
# The same using the var command
matrix ECM = $ec
list eclist = null
loop i=1..cols(ECM) -q
series ECM$i = ECM[,i]
eclist += ECM$i
endloop
list EXO = eclist #const #|| exo2 || eclist
scalar varlag = lag-1
var varlag diff(Y) ; EXO
matrix sigma_var = $sigma
matrix oirf11_var = irf(1,1,0)
#Print-out
print sigma_vecm sigma_var
OIRF = oirf11_vecm ~ oirf11_var
gnuplot 1 2 --with-lines --time-series --matrix=OIRF --output=display
<\hansl>
Artur
On Thu, 13 Jun 2013, Artur Tarassow wrote:
Hi all,
I am a bit confused about the following. I estimated following two
models which give exactly the same results. The first one uses the
VECM command and the second one the VAR command. For both I compute
the IRF(1,1) but they look different, which should not be the case,
or? Or do I miss something here ...
I don't have time to look into this with very much attention, sorry, but
it seems to me that the trouble is that your're "faking" a VAR in
differences plus exogenous (mode no. 2) when in fact your "exogenous"
variable is a linear combination of lagged Ys; as a consequence, the
companion matrix is not caluculated correctly.
-------------------------------------------------------
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
-------------------------------------------------------
Indeed, the companion matrices differ from each other.
Thank's for the reply.
Artur
2013/6/13, Riccardo (Jack) Lucchetti <r.lucchetti(a)univpm.it>:
On Thu, 13 Jun 2013, Artur Tarassow wrote:
> Hi all,
>
> I am a bit confused about the following. I estimated following two
> models which give exactly the same results. The first one uses the
> VECM command and the second one the VAR command. For both I compute
> the IRF(1,1) but they look different, which should not be the case,
> or? Or do I miss something here ...
I don't have time to look into this with very much attention, sorry, but
it seems to me that the trouble is that your're "faking" a VAR in
differences plus exogenous (mode no. 2) when in fact your "exogenous"
variable is a linear combination of lagged Ys; as a consequence, the
companion matrix is not caluculated correctly.
-------------------------------------------------------
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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Riccardo (Jack) Lucchetti