SVAR System FIML Estimation do not Produce St.Err.

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uurak
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Joined: Tue Dec 12, 2017 1:37 am

SVAR System FIML Estimation do not Produce St.Err.

Postby uurak » Tue Dec 12, 2017 9:26 am

Hi;

I need some help with SVAR. I have 6 variables in reduced form SVAR. 2 of them are international variables and have not effect on other 4 variables. I write a program code for estimation and irfs.

But when I estimate this system with FIML (Full Information Maximum Likelihood) estimator, it can be produced only coefficients and irfs. But standard errors and p values cannot be produced. The error is "Warning: Singular Covariance - Coefficients are not unique".

I have experience in econometrics and in Eviews, but no in FIML estimator.

How can I solve this problem?

Thanks a lot.

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