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