Issue with SVAR identifying restrictions

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AlunaBic
Posts: 5
Joined: Mon Nov 09, 2015 12:06 am

Issue with SVAR identifying restrictions

Postby AlunaBic » Mon Nov 09, 2015 12:19 am

Hi all,

I'm currently using EViews 8 and I'm attempting to estimate a SVAR model. However, when I input my identifying restrictions, I received the error message "Hessian matrix is near singular at final iteration parameter values". The restrictions I'm attempting to impose are:
R1 1 0 0 0 0 0 0
R2 NA 1 0 0 0 0 0
R3 NA 0 1 0 0 0 0
R4 NA 0 NA 1 0 0 0
R5 NA 0 0 NA 1 0 NA
R6 NA NA NA NA NA 1 0
R7 NA NA NA NA NA NA 1

I am only able to get the model to run if I eliminate the final 2 restrictions of R7, but unfortunately these are fairly important to the model. I've tried to change the starting values as well as manually input the restrictions in text form, but unfortunately neither of those have solved the issue. If anyone has any ideas how I can solve this problem it would be greatly appreciated.

Thanks,

Aluna

trubador
Did you use forum search?
Posts: 1520
Joined: Thu Nov 20, 2008 12:04 pm

Re: Issue with SVAR identifying restrictions

Postby trubador » Mon Nov 09, 2015 2:12 am


AlunaBic
Posts: 5
Joined: Mon Nov 09, 2015 12:06 am

Re: Issue with SVAR identifying restrictions

Postby AlunaBic » Mon Nov 09, 2015 2:28 am

Thanks for the response.

I've read all I can find on the forums to do with SVAR, including that post, but was hoping that maybe someone had found a solution since then.

So basically I can't estimate a non-recursive SVAR using EViews?


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