SVAR

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Lina
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Joined: Fri Apr 24, 2015 9:21 am

SVAR

Postby Lina » Fri Apr 24, 2015 9:27 am

I have attempted to run SVAR on Eviews for Kuwait (please see attached) using the Amisano and Gianini (1997) strategy AB.
Before, going in depth I have converted all data into log form except for Lending Rate and FFR then I checked for Stationarity using ADF and Philipp Perron, and used lag length of 3. I have then estimated a basic VAR, created Matrix A (with 28 restriction in A) and Matrix B (with 42 restrictions on B)
However, when attempting to do SVAR I received an error message

“Hessian of Structural VAR likelihood is singular at starting values. Reset Starting Values or specify restrictions to ensure that the model is locally identified.”
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Document5.docx
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trubador
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Posts: 1520
Joined: Thu Nov 20, 2008 12:04 pm

Re: SVAR

Postby trubador » Sat Apr 25, 2015 4:25 am

http://forums.eviews.com/viewtopic.php?f=4&t=9229
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