[R] Block exogeneity in SVAR

[Lilja Sólveig Kro]

Good day,

My goal is to use a SVAR model to estimate monetary policy transmission. I
have seven variables, five for a small country and two for a large country.
I‘d like to impose block-exogeneity restrictions so that the small county
does not affect the large country (in the short run nor in the long run) but
the large country does affect the small country. I’ll then use impulse
response functions for my analysis.

Is it possible to impose these restrictions using the SVAR function in the
var package in R? 

Best Regards,

Lilja Kro 

 


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