Re: [Gretl-users] SVAR coefficients
Am 04.06.2013 15:55, schrieb Gabriela Nodari:
Dear gretl users,
I was wondering whether it is possible to restrict the coefficients of
the estimated structural VAR EX-POST (the estimation).
In practice, I am trying to do a counterfactual analysis and I want to
compare IRFs, by restricting one variable to not respond to an
underlying shock at ALL horizons.
Suggestions?
If I understand correctly what you mean, if your non-responding variable
is x_1, then you need to throw out all other variables in the x_1
equation. Plus the contemporaneous restriction. Only then will the IRF
be identically zero. That's not ex post, however, but "simply"
restricted estimation.
cheers,
sven