Variable was not found!

[Mario Ferri]

Dear all

I am running a classic vector autoregression model, and when I try to get the impulse response function, I receive an error that a variable is not found in the results from the Impulse Response Function , IRF.

impulse mag0 not found in results from cars
r(49

8);

This is also the case with the next variable, if I remove the one that was not found.

The code I am using and a sample of my data are both given below.

A side question, how could I get the variable labels on the IRF graph instead of the symbol?



I would be grateful for your help.

varsoc mag0 mag1 car0 car1 col0 col1 vehicle ka re fd

  
quietly  var mag0 mag1 car0 car1 col0 col1 vehicle ka re fd,lag(4)
 
 
varstable,graph
 
 varlmar
 
vargranger


irf create cars, set(cars) step(10) 
  set seed 123456
 
irf graph irf , impulse (mag0 mag1 car0 car1 col0 col1 vehicle ) response ( ka re fd)   
  
irf graph oirf , impulse (mag0 mag1 car0 car1 col0 col1 vehicle ) response ( ka re fd ) 
            
  
irf graph   coirf , impulse (mag0 mag1 car0 car1 col0 col1 vehicle) response ( ka re fd)

----------------------- copy starting from the next line -----------------------

* Example generated by -dataex-. For more info, type help dataex
clear
input float(year mag0 mag1 car0 car1 col0 col1 vehicle ka re fd)
1945 .08333334 .9166667        1           0            .             .            .           .             .             .
1946 .11104685 .8889531 .9972528  .002747253   .007133216   -.007133186     .0767169           .             .             .
1947 .19947444 .8005255 .9980889 .0019111324    .05756658    -.05756658  -.033678144           .             .             .
1948 .22086407 .7406744 .9615384           0  -.034264237  -.0041972995    .02165809           .             .             .
1949  .1937322 .7993488  .993081           0   .000801742      .0307408  -.003348023           .             .             .
1950  .2035002 .7964998  .992267  .007733008  -.030423284     .03734231  .0028122663           .             .             .
1951 .22954823 .7704518 .9502442    .0497558    .05352053    -.05352056  -.003260791           .             .             .
1952 .16732623 .8326738 .9955353 .0044647385    -.0533452      .0533452   .033309698           .             .             .
1953 .16870166 .8312984 .9815832  .018416768    .08407372    -.08407375  -.008517623           .             .             .
1954 .17623118 .8237689 .9855515  .014448515  -.013736248    .013736278  -.008653492           .             .             .
1955  .1921042 .8078958 .9871795  .012820513    -.0450753      .0450753   .005571097           .             .             .
1956 .18711314 .8128868 .9950279  .004972095  -.008823812    .008823812  -.013731807           .             .             .
1957  .1980057 .7987383  .996744           0     .0465731    -.04982913   .006495297           .             .             .
1958 .17531542 .8002645 .9734432 .0021367522    .03551078    -.05667481  .0042423904           .             .             .
1959  .3041311  .695869 .9708995   .02910053    .09544164    -.07102156 -.0012779236           .             .             .
1960 .26169458 .7383054        1           0   -.03749508     .03749505  -.015391976           .             .             .
1961 .27614978 .7238503 .9675417  .032458283    .03749508    -.03749505    .00309664           .             .             .
1962 .27188328 .7281167 .9976317 .0023683214   -.11199883     .11199877   .010390967           .             .             .
1963  .3119553 .6880447  .969496   .03050398  -.001894653    .001894653   -.01049766           .             .             .
1964  .3092237 .6907762 .9722375   .02776256   .015789598   -.015789539   .004954934           .             .             .
1965  .2330586 .7669414        1           0   -.05335116     .05335113     .0115287           .             .             .
1966 .17653315 .8234668 .9927331  .007266927    .02140197      -.021402   .012013525           .             .             .
1967 .22536334 .7746366 .9595888    .0404112    .04271534    -.04271531  -.011647135           .             .             .
1968  .1899249 .8100751 .9677419  .032258064  -.018935263    .018935263    .01712513           .             .             .
1969 .19505495 .8049451 .9677419  .032258064  -.007119328    .007119298  -.014389515           .             .             .
1970  .2045374 .7899681 .9622474  .032258064   .025434285    -.03092873  .0019976795           .             .             .
1971  .2260723 .7739277 .9621588   .03784119   .006380677  -.0008862019  -.021190494  -.39362165             .             .
1972 .27264693 .7169244 .9406098   .04896155    .05811477   -.068543434  -.007597685  -.24231456             .             .
1973 .21797733 .7507727 .9263393   .04241072  -.021107137  .00028583407   .006259322  -.24066724             .             .
1974 .20072116 .7578125 .9370707   .02146291    .02026099   -.030477345   .005590796   -.2665547             .             .
1975 .17659684 .8094093 .9783654  .007640797    .01244849    .015024036   .006330937  -.24634326             .             .
1976   .184973  .815027 .9853051  .014694895 -.0037447214    .017738491    .01055935  -.31063345             .             .
1977 .23524334 .7647567 .9867347  .013265306    .05594742    -.05594736 -.0006091893   -.4182096             .             .
1978 .21381475 .7764521 .9846154  .005651491  -.018916786    .009183645 -.0009466112   -.3896763             .             .
1979 .28434065 .6985294 .9394796   .04339043  .0014082193   -.008805037    .01392892   -.3896763             .             .
1980  .1752619 .8247381 .9987913 .0012087027    .01566708   .0014628172   -.02210301  -.29550555             .             .
1981  .2135585 .7864415 .9974144   .00258565  -.015343845    .015343904  -.010849535  -.34505615             .             .
1982  .3413058 .6586943 .9786684   .02133161    .02456367    -.02456367   .004226178  -.25163704   .0001324024    .006160483
1983 .26389787 .7361021 .9928895  .007110537   -.06221724     .06221718   -.00328362   -.1750894   -.014355402    .014019087
1984 .18436745 .8156326        1           0   -.05473828     .05473831  .0010181367  -.10805306   -.007924562    .014482632
1985  .1516645 .8483355        1           0    .02088243    -.02088246 -.0006535053  -.08923411    .005102764    .009850457
1986 .19957983 .8004202        1           0   .034017503   -.034017444  .0020222664   -.0594031   -.010541415     .02026184
1987 .23287007   .76713 .9941823  .005817712     .0583387    -.05833873   .006771833  -.14884342     .01484855     .01551783
1988 .22385173 .7761483 .9896051  .010394843    .01464212    -.01464212  -.003155172   -.1206697     .01575236      .0220432
1989 .23149644 .7685035 .9966871 .0033128636   -.05698216     .05698213   .016436338 -.036256615 -.00008889288  -.0046534836
1990 .27984852 .7201515  .994654  .005346005  -.015793383    .015793443    .05697283 .0005995822   -.018172212     .02081114
1991  .3284199 .6465201 .9749401           0    .02895367    -.05401364     43.27272   .07461239    .015567867    .008893073
1992  .3083437  .691594 .9999377           0   -.09506172      .1200594    .04439545   .12935932   -.018236343 -.00018396974
1993 .24354993 .7332776 .9604037  .016423794   -.04099771    .017887473    -1.770897    .3613803   -.005394331    .013688922
1994 .23602992 .7400631 .9677929   .00830021   -.09033784      .0896034     .0444107    .6830521    .010098682    .033943623
1995 .27747253 .7225274 .9669732  .033026755    .04459012    -.02068317   .022476196    .7524721      .0101888     .01792264
1996   .325723  .674277 .9697465  .030253503   -.05218634     .05218637    .02706146     .857617     .01386066   .0020535886
1997 .30558395 .6757603 .9518272  .029516995  -.036713243    .018057466    .01917267    .7424365   -.024909677     .01871976
1998 .29313186 .6818681 .9739011 .0010989011   -.04234445    .036000192    .01044464    .7895167     .00673125     .03958488
1999 .28042582 .7138736 .9756181   .01868132    .02678573   -.007486284   .000793457    .8327662    .008219708      .0237163
2000  .2688356 .7311644 .9853424  .014657534  -.016068995    .021769524   .029144287    .9176872    -.02601591   .0046441555
2001  .2554258 .7445742 .9921017  .007898351   .012772292   -.012772262   .031337738    .9703661    .007965174     .02297038
2002  .2105769  .789423  .982967  .017032966   -.07252747     .07252747   .015750885   1.0378017    .005473087   -.006904125
2003  .1955357 .8044643  .985989   .01401099 .00020602345 -.00020605326   .016868591   1.1644768    .018079296   -.007299632
2004  .2408904 .7591096        1           0   .012151897   -.012151897     .0190773    1.276395    .022712436     .01002726
2005  .2480769 .7519231        1           0 -.0023991466   .0023991466    .01517105   1.3937308   -.022985077    .015026867
2006  .2673077 .7326923 .9806319   .01936813   .030700564   -.030700505    .02935791    1.459883  -.0082911225    .011752129
2007 .26824456 .7317554 .9940829   .00591716   -.03289485     .03289479   .024166107   1.5610563     -.0102654    .023671627
2008  .2303533 .7696467        1           0  -.013935775    .013935804    .02479172   1.5881433    .019328535     .02137667
2009 .23055235 .7694477 .9828658  .017134182    .06577581    -.06577581    .02153778   1.5653305   -.010148779   -.015480518
2010 .29588655 .7041135 .9681467   .03185328   -.02413714     .02413714   .015098572   1.5544957   -.018703487      .0095371
2011  .3009355 .6958717 .9968072           0   -.06095931     .05776656    .00982666   1.5382434      .0073763   -.004389167
2012 .25005552 .7229174 .9703073 .0026656794  -.021239385   -.002594888   .029712677    1.521991     .01201999   -.008769155
2013 .20782596 .7834868  .972676   .01863677  -.007940888     .02628064   .017562866   1.4883434    -.02810171   -.009512424
2014 .22527473 .7747253 .9808435   .01915652  -.028363526    .037050784    .02828598   1.4627517    .018062308   -.000639975
2015         .        .        .           .            .             .   .018558502    1.490982   -.003878433  -.0006780028
2016         .        .        .           .            .             .    2.8140755    1.501817   -.029535156     .00385046
2017         .        .        .           .            .             .    -44.66236   1.5382434     .04417016  -.0021682382
2018         .        .        .           .            .             .            .   1.5207077    .002493127    .007712066
2019         .        .        .           .            .             .            .    1.483138   -.007930711   -.005730808
2020         .        .        .           .            .             .            .           .    -.01844586             .
end

------------------ copy up to and including the previous line ------------------

[Mario Ferri]

Anyone who can help with this? It's about getting a graph mostly.....

[Justin Niakamal]

The model is highly parameterized relative to the number of observations. The variable is not found because it's getting dropped since it's collinear with variables. I don't understand the graph question, but you can customize the graphs if you read in the irf file and create them by hand. ( use cars.irf, clear)

[Mario Ferri]

The model is highly parameterized relative to the number of observations. The variable is not found because it's getting dropped since it's collinear with variables. I don't understand the graph question, but you can customize the graphs if you read in the irf file and create them by hand. ( use cars.irf, clear)

Thanks for the reply. Indeed removing the not found variable helped obtaining irfs.

One last thing,. As I wrote I run a rolling VAR. and a rolling PVAR. I have run an unobserved components model initially in order to obtain one step ahead predictions.

I need to
1)
collect the observation error covariance parameters and plot the credible intervals
And
2)Collect the (state) innovation variance parameters
and plot the credible intervals. How do I do that?