Structural VAR Estimates

Date: 11/07/12   Time: 16:09

Sample (adjusted): 1987 2010

Included observations: 24 after adjustments

Estimation method: method of scoring (analytic derivatives)

Convergence achieved after 9 iterations

Structural VAR is over-identified (1 degrees of freedom)

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

Restriction Type: short-run pattern matrix

A =

1

C(3)

C(4)

C(1)

1

C(5)

C(2)

0

1

B =

1

0

0

0

1

0

0

0

1

WARNING: B matrix is fixed (structural innovation variances not estimated)!!!

Coefficient

Std. Error

z-Statistic

Prob.  

C(1)

-1.985366

1.356791

-1.463281

0.1434

C(2)

6.422061

0.986780

6.508100

0.0000

C(3)

16.98347

2.452001

6.926372

0.0000

C(4)

-2.894752

1.069047

-2.707788

0.0068

C(5)

4.758187

0.740618

6.424613

0.0000

Log likelihood

50.26175

LR test for over-identification:

Chi-square(1)

0.013818

Probability

0.9064

Estimated A matrix:

1.000000

16.98347

-2.894752

-1.985366

1.000000

4.758187

6.422061

0.000000

1.000000

Estimated B matrix:

1.000000

0.000000

0.000000

0.000000

1.000000

0.000000

0.000000

0.000000

1.000000