Thanks a lot Artur and Sven. This was very helpful. Another question, I saw in the documentation that the possibility of combining sign restrictions and zero restrictions on the C matrix is still in the works. Is there a way to work around this while a new version of the SVAR addon comes out?

Again thanks!

In short, not really. One workaround that might come to mind is to approximate an exact zero restriction with a small set around zero, but this would have a huge computational cost, because you would be drawing gazillions of rotations that will be rejected. Also it would be difficult to justify the workaround to the audience.

Another theoretical option might in principle be applicable if, say, the first shock is exactly identified. For example there are quite many applications where the first shock is identical to the first reduced-form error. Then it might be possible to consider only the orthogonal subspace, projecting off that first shock, and somehow continue from there. But the SVAR addon isn't set up for that, and so it's not clear to me (even though I'm a co-author of that addon) how the existing functions could be recycled to achieve something like that.

In any case, the more demand is for the feature, the more likely it is that eventually the work will proceed.

cheers

sven