[R] {vars} SVAR A-Model: Restrictions on Matrix A and Variance-Covariance-Matrix
chili
chilimaster at web.de
Fri Jun 20 11:27:58 CEST 2014
Thanks to Dennis Murphy I was able to improve mein R-Code:
1) A-Matrix:
A_Matrix <- diag(4) # 4 restrictions
A_Matrix[upper.tri(A_Matrix)] <- NA # 6 further restrictions
2) Variance-Covariance-Matrix
Xmat <- cbind(X1, X2, X3, X4)
vs <- apply(Xmat, 2, var)
VC_Matrix<- diag(vs) # final 6 restricions
That worked fine so far.
Now, is there any chance to implement the VC_Matrix it into my
SVAR-estimation?
--
View this message in context: http://r.789695.n4.nabble.com/vars-SVAR-A-Model-Restrictions-on-Matrix-A-and-Variance-Covariance-Matrix-tp4692387p4692424.html
Sent from the R help mailing list archive at Nabble.com.
More information about the R-help
mailing list