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