SVAR Restriction on AB-model

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SVAR Restriction on AB-model

vero_acurio
Hello!

I'm doing a svar and when I make the estimation the next error message appears:

In SVAR(x, Amat = amat, Bmat = bmat, start = NULL, max.iter = 1000,  :
  The AB-model is just identified. No test possible.

Could you help me to interpret it please.

Also I have the identification assumption that one of my shocks is exogenous relative to the contemporaneous values of the other variables in the SVAR, could you help me with the construction of the restriction matrices A and B of the SVAR model please?

Thanks a lot!

Best Regards,

Veronica
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Re: SVAR Restriction on AB-model

Pfaff, Bernhard Dr.
Hello Veronica,

what makes you think that this is an error? It is a warning that your specified SVAR-model is **just** identified and hence an over-identification test cannot be conducted. You can suppress this warning by not asking for an over-identification in the first place, by setting lrtest = FALSE in your call to SVAR(). See ?SVAR (Arguments and Details sections) and the package's vignette.
To your second question, provide zero entries in the respective column of the A-matrix except for the main-diagonal element.

Best,
Bernhard

-----Urspr√ľngliche Nachricht-----
Von: [hidden email] [mailto:[hidden email]] Im Auftrag von vero_acurio
Gesendet: Donnerstag, 12. Juli 2012 16:10
An: [hidden email]
Betreff: [R] SVAR Restriction on AB-model

Hello!

I'm doing a svar and when I make the estimation the next error message
appears:

In SVAR(x, Amat = amat, Bmat = bmat, start = NULL, max.iter = 1000,  :
  The AB-model is just identified. No test possible.

Could you help me to interpret it please.

Also I have the identification assumption that one of my shocks is exogenous relative to the contemporaneous values of the other variables in the SVAR, could you help me with the construction of the restriction matrices A and B of the SVAR model please?

Thanks a lot!

Best Regards,

Veronica

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