var sign restriction
Posted: Fri Mar 22, 2013 4:52 am
I'm looking for a code where I can impose sign parameters restricitons on VAR models.
I found this way to do it for a simple regression: "To impose a positive sign on coefficient of y(t-1) write y(t)=(exp(a)))*y(t-1)+...You then need to use a non-linear regression program to estimate a. For negative of course you would just write (-exp(a))*y(t-1)"
Would you please help me to find a code to do it using a VAR model.
I found this way to do it for a simple regression: "To impose a positive sign on coefficient of y(t-1) write y(t)=(exp(a)))*y(t-1)+...You then need to use a non-linear regression program to estimate a. For negative of course you would just write (-exp(a))*y(t-1)"
Would you please help me to find a code to do it using a VAR model.