[R] Impose Structure for Exogenous in vars Package

[Pfaff, Bernhard Dr.]

Hi Andrew,

if I understand your question correctly, then you would like to place constraints for your exogenous variables in some VAR equations.
If so, please have a look at ?restrict.

As a toy example:

library(vars)
?restrict
data(Canada)
N <- nrow(Canada)
ExoVar <- matrix(runif(N))
colnames(ExoVar) <- "Exogenous"
mod <- VAR(Canada, exogen = ExoVar)
summary(mod)
summary(restrict(mod))

here, ExoVar will be removed given that the plain vanilla call to restrict() removes all variables with insignificant coeffiecients (|t-stat| < 2.0)   in a VAR equation. 
You can also provide a 'constraint' matrix for entering zero-constraints.

HTH,
Bernhard



-----Ursprüngliche Nachricht-----
Von: R-help [mailto:r-help-bounces at r-project.org] Im Auftrag von Castro, Andrew William Keahi
Gesendet: Donnerstag, 23. Februar 2017 15:42
An: r-help at R-project.org
Betreff: [EXT] [R] Impose Structure for Exogenous in vars Package

Hello everyone,

I see there are structural VAR options in the vars package for the endogenous variables, but is there any easy way to impose structure on the exogenous variable matrix (notated as the matrix C on page 45 of https://cran.r-project.org/web/packages/vars/vars.pdf). Thanks!

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