Recursive*vector autoregressive model

[Francois Durant]

Hi,

I would like to program a basic recursive vector autoregressive model using Cholesky decomposition with method of moment estimation method. I am seeking to reproduce model 1 in the part "8. Illustration" of the following link:
http://www.csam.or.kr/journal/view.h....2017.24.5.421

I have tried to do it as follow, but I do not know how impose the structure to the var:

webuse lutkepohl2
tsset

var dln_inv dln_inc dln_consump

[Eric de Souza]

The command for a structural VAR is -svar-. The Stata documentation has a good introduction to svars. When in Stata, type -help svar-. A help window will open. At the top of the window you have a link to the relevant part of the Stata documentation.

[Francois Durant]

Hi Eric,

Would you be able to help me program a recursive structural VAR with the command SVAR. In other words, how do you program the constraints in a way that I can reproduce model 1 in the part "8. Illustration" of the following link:
http://www.csam.or.kr/journal/view.h....2017.24.5.421

[Eric Makela]

Hi Francois, have you been able to accomplish the above task, a recursive structural VAR matching the journal's model 1, as of yet? If so, perhaps you can include the code here for my reference!