EViews.com

Im attempting to create a SVAR model of my 5 factors AUGDP, AUGE, CASH, USGDP, RTWI. My EViews file is getting this odd result that the estimated coefficients of the B matrix are all 0.1 which seem to be the starting values since it doesn't actually go through any iterations (this with the default Choleski restrictions in EViews). So I re-ran it with all u's and no e's on the right-hand side (also for the Choleski) and get sensible results. My supervisor states he doesn't know what's going on with the failure to converge and believes it may be a bug in the program. In my work file i have attempted to use the Hodrick–Prescott filter but this has not helped.

Your workfile doesn't include a VAR object.

ok i have taken lags of my data and run them through the hodrick prescott filter and have estimate the var with the 5 varibales lhusgdp lhaugdp lhcash lhauge lhrtwi. If i use the sample formual given than the coeffecients are all 0.1.

the svar formula i want to impose is
@e1 = c(1)*@u1
@e2 = -c(2)*@e1 - c(3)*@e3 - c(4)*@e4 - c(5)*@e5 + c(6)*@u2
@e3 = -c(7)*@e2 - c(8)*@e5 + c(9)*@u3
@e4 = -c(10)*@e2 + c(11)*@u4
@e5= -c(12)*@e2 + c(13)*@u5

this also gives 01 as the results.

You have your estimation set to use 0.1 as starting values, and the VAR is reporting it could not converge (Failure to improve after 1 interation). Thus the final estimates are all 0.1.

what do i need to do to change the starting value to not be 0.1.

The Optimization Control tab of the Structural Factorization dialog has options for starting values.

If you draw the starting values from a Uniform(0,1) distribution, your SVAR converges; however, the LR test indicates that the (over-)identification restrictions are strongly rejected, thus indicating that the proposed SVAR is rejected by the data, implying the need to change the underlying restrictions.
Regards
Donihue