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Hmm, I tried specifying extra equations to try to force the variances and covariances to be the required values, i.e.: E[u_i*u_j] = 1 for i = j, 0 otherwise: --- C(1)*resid01 C(3)*resid02 + C(2)*resid01 C(6)*resid03 + C(4)*resid01 + C(5)*resid02 (C(1)*resid01)^2 = 1 (C(3)*resid02 + C(2)*resid01)^2 =...

Thanks for your comment. OLS of course gives a diagonal covariance matrix (look under View==>Residuals==>Covariance Matrix) yet as indicated the coefficients are somewhat different from those of the SVAR, so that does not seem to be the source of the problem. "View - Residuals - Covariance Mat...

Unfortunate! In smallish systems, one can edit the equations by hand and then re-estimate the system by FIML, generate a model from that and then solve to get IRFs in a very round-about way. I have done that for the small system I posted and although the actual FIML estimation ("sys_svar_fiml_...

I want to estimate a system for which the variance-covariance matrix of the residuals is restricted (for instance, to be the identity matrix, or to be a diagonal matrix). As an illustration, take the 'Structural Factorisation' example (from the EViews manual) for VARs, the system is given as: --- @E...

I would've thought that it would depend on whether you think it is the levels of those variables that affect the (level of?) the daily stock market returns or whether it is the changes (first differences) of these variables which do so. I don't know anything about the stock market so can't really he...

On the same topic, how are the standard errors computed (for the +/- 2.S.E. error bands that EViews displays on the graph, and shows on the table)?

When running the Impulse Response procedure in EViews for the Structural Factorisation, it gives "Structural One S.D. Innovations" - how exactly are these calculated? In other words, what is it "One S.D." of and how could I calculate it manually? I tried to check by replicating t...

It isn't particularly clear what you're trying to do. Why not just do: matrix var01_c1 = var01.coefmat I want it in the standard format (where C1 is the matrix of all lag 1 coefficients, C2 for lag 2, etc.), where: x_t = C1*x_t-1 + C2*x_t-2 + ... is the reduced form VAR. So with your first reply I ...

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var01_c1 = 0 var01_c1(1,1) = var01.c(1,1)

Thanks for the very quick reply. :) That method would still require one line per element, but it looks like it can easily be put in a loop so that's fine. :)

I'm trying to transfer the coefficients from a reduced form VAR to coefficient matrices, but the way I've tried seems to require going via a scalar variable. In the simplest case, the following works: scalar C1_11 = var01.c(1,1) var01_C1.fill(b=r) C1_11, 0, 0, 0, 0, 0, 0, 0, 0 But the following does...

You do, however, still have the problem that your system isn't really identified since it has a solution where C(1)=C(2)=...=C(6)=0 yields residuals of 0. Does anyone have any ideas on how I could avoid this problem? I'm trying to use a system to replicate the arbitrary (Cholesky-style) identificat...

Glad we got it figured out...

By the way, where is the stuff about FIML in the manual? I can't seem to find it.

And while this is almost certainly in the manual, what is the log-likelihood function and how can it be changed?

In contrast to other system estimators, FIML requires specific information about the identities of the dependent variables in the system (which is used in computing the Jacobian). As noted in the manual, EViews uses the first variable found in each equation line to identify the dependent variables ...

Right, it seems that at least part of the problem was the installation on the college computers, which gave "Near singular matrix" for the OLS estimation. Using the Faculty installation or EViews 6 allows all the systems mentioned so far to be estimated. However, the problem with the FIML ...

Hello, I have just tested (see attached, using 7 Mar 2011 build of EViews7.1) your "small" specification on some data I use for testing. I did not get your errors of either "Invalid endogenous variable specification for system" or "No valid observations in equation..."...