Structural VAR Estimates |
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Date: 03/30/15 Time: 11:31 |
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Sample (adjusted): 4 179 |
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Included observations: 118 after adjustments |
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Estimation method: method of scoring (analytic derivatives) | ||||
Convergence achieved after 26 iterations |
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Structural VAR is just-identified |
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Model: Ae = Bu where E[uu'] = I |
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Restriction Type: long-run pattern matrix |
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Long-run response pattern: |
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0 | C(3) | 0 | 0 | 0 |
C(1) | C(4) | C(7) | 0 | 0 |
0 | C(5) | C(8) | 0 | C(13) |
0 | 0 | C(9) | C(11) | C(14) |
C(2) | C(6) | C(10) | C(12) | C(15) |
| Coefficient | Std. Error | z-Statistic | Prob. |
C(1) | −0.165864 | 199.7153 | −0.000831 | 0.9993 |
C(2) | −4.762196 | 5736.620 | −0.000830 | 0.9993 |
C(3) | 1.334346 | 0.086859 | 15.36229 | 0.0000 |
C(4) | 0.412416 | 0.078203 | 5.273666 | 0.0000 |
C(5) | 0.148541 | 0.098074 | 1.514584 | 0.1299 |
C(6) | 0.843626 | 0.207928 | 4.057306 | 0.0000 |
C(7) | 7.123475 | 0.704558 | 10.11056 | 0.0000 |
C(8) | 0.780447 | 42.45698 | 0.018382 | 0.9853 |
C(9) | −0.640879 | 34.82592 | −0.018402 | 0.9853 |
C(10) | 2.093684 | 113.8691 | 0.018387 | 0.9853 |
C(11) | 0.302962 | 1111.486 | 0.000273 | 0.9998 |
C(12) | 2.543318 | 10691.77 | 0.000238 | 0.9998 |
C(13) | 0.844524 | 26.44858 | 0.031931 | 0.9745 |
C(14) | 0.520051 | 189.0991 | 0.002750 | 0.9978 |
C(15) | −2.014062 | 62.64581 | −0.032150 | 0.9744 |
Log likelihood | −899.0955 |
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Estimated A matrix: |
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1.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 |
0.000000 | 1.000000 | 0.000000 | 0.000000 | 0.000000 |
0.000000 | 0.000000 | 1.000000 | 0.000000 | 0.000000 |
0.000000 | 0.000000 | 0.000000 | 1.000000 | 0.000000 |
0.000000 | 0.000000 | 0.000000 | 0.000000 | 1.000000 |
Estimated B matrix: |
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0.095906 | 1.009927 | 0.006195 | −0.146056 | 0.282821 |
−0.161672 | 0.073780 | −0.420046 | −0.023184 | 0.109172 |
−0.345802 | 0.560176 | 0.327682 | −0.166093 | −0.678647 |
−0.189437 | 0.283041 | −1.259165 | 0.128026 | −0.057295 |
−3.770502 | 3.303976 | 2.527194 | 6.119224 | 2.153542 |