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

Felipe Bergamin Boralli felipe.boralli at itau-unibanco.com.br
Mon Oct 26 18:53:27 CET 2015

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

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.


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