Re: [Gretl-users] Fwd: VARs: Historical FEVD and restrictions
On 12.02.2015 21:10, Gabriela Nodari wrote:
*I'm not sure this is what I'm looking for. If I correctly understood,
here you are adding "extra" restrictions in*
*the standard Cholesky approach, right? Instead, what I would like to
have is an estimate of the following system:*
**
*Y1,t = a11 Y1,t-1 + u1t*
**
*Y2,t = a21 Y1,t-1 + a22 Y2,t-1 + a23 Y3,t-1 + u2t*
**
*Y3,t = a31 Y1,t-1 + a32 Y2,t-1 + a33 Y3,t-1 + u3t*
**
*Does the SVAR function allow one to estimate it?*
**
*Thanks,*
Gabriela
Actually, your post is similar to mine in December. See here:
http://lists.wfu.edu/pipermail/gretl-users/2014-December/010517.html
You can estimate those "gappy" VARs using the "system" command.
However,
as far as I know this is not supported within the SVAR package.
JMulti also supports "gappy" VARS and even includes an algorithm for
testing these restrictions. Addtionally, you can impose further
restrictions on the VCV matrix following the SVAR methodology.
Best,
Artur
Attachments:
- attachment.html (text/html — 3.0 KB)