Structural VAR Estimates | ||||
Date: 11/07/12 Time: 16:09 | ||||
Sample (adjusted): 1987 2010 | ||||
Included observations: 24 after adjustments | ||||
Estimation method: method of scoring (analytic derivatives) | ||||
Convergence achieved after 9 iterations | ||||
Structural VAR is over-identified (1 degrees of freedom) | ||||
Model: Ae = Bu where E[uu']=I | ||||
Restriction Type: short-run pattern matrix | ||||
A = | ||||
1 | C(3) | C(4) | ||
C(1) | 1 | C(5) | ||
C(2) | 0 | 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) | -1.985366 | 1.356791 | -1.463281 | 0.1434 |
C(2) | 6.422061 | 0.986780 | 6.508100 | 0.0000 |
C(3) | 16.98347 | 2.452001 | 6.926372 | 0.0000 |
C(4) | -2.894752 | 1.069047 | -2.707788 | 0.0068 |
C(5) | 4.758187 | 0.740618 | 6.424613 | 0.0000 |
Log likelihood | 50.26175 | |||
LR test for over-identification: | ||||
Chi-square(1) | 0.013818 | Probability | 0.9064 | |
Estimated A matrix: | ||||
1.000000 | 16.98347 | -2.894752 | ||
-1.985366 | 1.000000 | 4.758187 | ||
6.422061 | 0.000000 | 1.000000 | ||
Estimated B matrix: | ||||
1.000000 | 0.000000 | 0.000000 | ||
0.000000 | 1.000000 | 0.000000 | ||
0.000000 | 0.000000 | 1.000000 | ||


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