Hello, good afternoon. Thank you very much for the instruction, it is very good and it is very useful for me. I have a query: when I enter the constraints to identify a SVAR model, I have two problems: 1. it returns me the banner with the warning "The structural VAR objective function cannot be evaluated on the initial values of the parameters." What is the reason for that? how can I correct it? and 2. could you tell me how I can introduce a negative constraint (not equal to any other constraint)? Thanks in advance!
The two problems you're encountering with identifying an SVAR model are common issues related to constraints and initial parameter values. Here’s how you can address them: 1. Error: "The structural VAR objective function cannot be evaluated on the initial values of the parameters." This warning typically indicates that the initial values of the parameters do not allow the model to be estimated correctly. There could be several reasons for this: a) Poor starting values, (b) Infeasible constraints (c) Identification issues Solution: a) Improve starting values: Manually set initial values that are closer to what you expect based on prior knowledge or empirical evidence. b) Relax constraints temporarily: Try relaxing some of the constraints to see if the model can be evaluated. If it works, you may have to reconsider the identification scheme or the constraints you've imposed. c) Check identification: Ensure your model is correctly identified with enough valid restrictions. You need to have the correct number of restrictions to allow for identification. 2nd Problem Introducing a Negative Constraint: To introduce a negative constraint, you need to manually input this constraint while ensuring that it is not contradictory to other constraints. In an SVAR model, EViews allows for parameter restrictions using an explicit command format. Steps to introduce a negative constraint: In the SVAR Identification window, you can impose constraints on the parameters using the coefficient restriction notation. If you want to specify that a certain structural parameter should be negative, you can set the constraint as follows: For example, suppose you want to constrain the structural parameter a12 to be negative. You would impose the following constraint: a12 < 0 Make sure that this restriction doesn't conflict with other constraints in your system, which could lead to infeasibility or estimation failure.
Hello, good afternoon. Thank you very much for the instruction, it is very good and it is very useful for me. I have a query: when I enter the constraints to identify a SVAR model, I have two problems: 1. it returns me the banner with the warning "The structural VAR objective function cannot be evaluated on the initial values of the parameters." What is the reason for that? how can I correct it? and 2. could you tell me how I can introduce a negative constraint (not equal to any other constraint)? Thanks in advance!
The two problems you're encountering with identifying an SVAR model are common issues related to constraints and initial parameter values. Here’s how you can address them:
1. Error: "The structural VAR objective function cannot be evaluated on the initial values of the parameters."
This warning typically indicates that the initial values of the parameters do not allow the model to be estimated correctly. There could be several reasons for this:
a) Poor starting values, (b) Infeasible constraints (c) Identification issues
Solution:
a) Improve starting values: Manually set initial values that are closer to what you expect based on prior knowledge or empirical evidence.
b) Relax constraints temporarily: Try relaxing some of the constraints to see if the model can be evaluated. If it works, you may have to reconsider the identification scheme or the constraints you've imposed.
c) Check identification: Ensure your model is correctly identified with enough valid restrictions. You need to have the correct number of restrictions to allow for identification.
2nd Problem Introducing a Negative Constraint:
To introduce a negative constraint, you need to manually input this constraint while ensuring that it is not contradictory to other constraints. In an SVAR model, EViews allows for parameter restrictions using an explicit command format.
Steps to introduce a negative constraint:
In the SVAR Identification window, you can impose constraints on the parameters using the coefficient restriction notation. If you want to specify that a certain structural parameter should be negative, you can set the constraint as follows:
For example, suppose you want to constrain the structural parameter a12 to be negative. You would impose the following constraint: a12 < 0
Make sure that this restriction doesn't conflict with other constraints in your system, which could lead to infeasibility or estimation failure.