IRFRestrict—procedure for doing multi-step IRF Restriction
Posted: Tue May 15, 2018 12:20 pm
@IRFRestrict builds up (one constraint at a time) a restriction matrix for a "B" form structural VAR. When done, this will have constructed a matrix R so that the restrictions on the SVAR will take the form
(1) R vec(B) = 0
Then vec(B) = R-perp x theta
will represent all possible solutions to (1), where theta is a VECTOR of free parameters. The resulting model can be estimated using CVMODEL. The use of the procedure is covered in detail in the 2nd edition of the VAR e-course.
Detailed description
(1) R vec(B) = 0
Then vec(B) = R-perp x theta
will represent all possible solutions to (1), where theta is a VECTOR of free parameters. The resulting model can be estimated using CVMODEL. The use of the procedure is covered in detail in the 2nd edition of the VAR e-course.
Detailed description