Dear all,
I was looking for tools for imposing zero restrictions into a the
coefficient matrix of a VAR model. I know that JMulti offers some
algorithms to conduct some kind of data mining. For R I found "fastVAR"
which uses Lasso penalty to return sparse coefficient matrices.
I just would like to ask if anybody in this list has already done some
work in this direction using gretl. Actually, I am looking for a very
simple algorithm which is comparable to the "omit --auto" command in
gretl for single equations.
Best wishes,
Artur