VAR estimation in Matlab and STATA
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I am running VAR(2) model with two variables, say A and V, with some restrictions on the estimating matrix. Following is the code that I am running in Matlab.
if true
restriction = [1,0;1,1];
Spec = vgxset('n',2,'ARsolve',{logical(restriction),logical(restriction)});
Y = [ A, V ];
[EstSpec,EstStdErrors,LLF,W] = vgxvarx(Spec,Y,[],[],'CovarType','full');
end
The results in Matlab and STATA by comparison are
Model : 2-D VAR(2) with No Additive Constant
Conditional mean is AR-stable and is MA-invertible
Standard errors without DoF adjustment (maximum likelihood)
Parameter Matlab Value Stata Value
-------------- -------------- --------------
AR(1)(1,1) 1.03565 1.092692
(1,2) 0 -8.70e-17
(2,1) 0.126034 .0322713
(2,2) 1.30409 1.768418
AR(2)(1,1) -0.0622634 -.1178665
(1,2) 0 -4.37e-15
(2,1) -0.129925 -.0368959
(2,2) -0.322161 -.7805202
Q(1,1) 0.000275459 .00010679
Q(2,1) -0.000123201 -7.526e-06
Q(2,2) 9.06242e-005 8.522e-06
-------------- -------------- --------------
I am using MATLAB Version 7.11.0.584 (R2010b) with Econometrics Toolbox Version 1.4 and Stata 11.1 for Windows. Can anybody help me why they are different.
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