[Gretl-users] Fwd: Fwd: VARs: Historical FEVD and restrictions
Alright! Thank you
*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?*
What you're describing is not a SVAR at all (unless you also have extra
assumptions on the disturbances): it's simply a restricted VAR, which can
be handled quite easily via SUR estimation: set up a system an you'll be ok.
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------
_______________________________________________
Gretl-users mailing list
Gretl-users(a)lists.wfu.edu
http://lists.wfu.edu/mailman/listinfo/gretl-users
Attachments:
- attachment.html (text/html — 1.9 KB)