AB型SVAR,B约束成单位矩阵。对A矩阵做了下面的约束,已经满足识别要求:
1 0 NA 0
NA 1 0 NA
NA NA 1 0
NA NA NA 1
但是估计时会提示:
Hessian of Structural VAR likelihood is singular at starting values. Reset starting values or respecify restrictions to ensure that the model is locally identified.
如果设置成下三角矩阵,就可以估计,但这样没什么经济意义。怎么解决呢。谢谢各位!