AVC 发表于 2012-5-12 19:35
问题1:是需要施加2个条件,
问题2:继续就好了,你对B设为单位矩阵,就表示你认为结构冲击的方差不需要估 ...
Model: Ae = Bu where E[uu']=I
Restriction Type: short-run pattern matrix
A =
1 0 0
C(1) 1 0.011
C(2) C(3) 1
B =
1 0 0
0 1 0
0 0 1
WARNING: B matrix is fixed (structural innovation variances not estimated)!!!
Coefficient Std. Error z-Statistic Prob.
C(1) 0.100000 0.078811 1.268858 0.2045
C(2) 0.100000 0.079195 1.262699 0.2067
C(3) 0.100000 0.078715 1.270409 0.2039
Log likelihood -44413335
LR test for over-identification:
Chi-square(3) 88821793 Probability 0.0000
Estimated A matrix:
1.000000 0.000000 0.000000
0.100000 1.000000 0.011000
0.100000 0.100000 1.000000
Estimated B matrix:
1.000000 0.000000 0.000000
0.000000 1.000000 0.000000
0.000000 0.000000 1.000000
大神,能帮我看看么,为什么我的矩阵估计出来都是0.1的??我现在写论文就卡在这里了。谢谢了~~~!!!