[R-SIG-Finance] VAR identified by sign restrictions

[Felipe Bergamin Boralli]

Hello,
I would like to run a Vector Autoregression (VAR) identified by sign restrictions, as in this paper:
Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information - Baumeister et al
http://econweb.ucsd.edu/~jhamilto/bh1.pdf

Before implementing this, I would like to see if someone else has already done it, and I have not found it either in CRAN or in this list archives.

Is there somewhere this routine is implemented?

Thanks for your help.

Felipe 




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