SVAR
Posted: 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.”
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.”