Structural VAR Estimates

Date: 03/30/15 Time: 11:31

Sample (adjusted): 4 179

Included observations: 118 after adjustments

Estimation method: method of scoring (analytic derivatives)

Convergence achieved after 26 iterations

Structural VAR is just-identified

Model: Ae = Bu where E[uu'] = I

Restriction Type: long-run pattern matrix

Long-run response pattern:

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

Estimated A matrix:

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:

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