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

Eric Zivot ezivot at uw.edu
Mon Oct 26 19:40:46 CET 2015

Jim Hamilton mentions in his blog post about the paper
upply-and-demand ) that he has Matlab code for the calculations that can be
downloaded from his webpage (http://econweb.ucsd.edu/~jhamilton/BHcode.zip
). I would start there to convert to R. 

-----Original Message-----
From: R-SIG-Finance [mailto:r-sig-finance-bounces at r-project.org] On Behalf
Of Felipe Bergamin Boralli
Sent: Monday, October 26, 2015 10:53 AM
To: 'r-sig-finance at r-project.org' <r-sig-finance at r-project.org>
Subject: [R-SIG-Finance] VAR identified by sign restrictions

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.


"Esta mensagem e reservada e sua divulgacao, distribuicao, reproducao ou
qualquer forma de uso e proibida e depende de previa autorizacao desta
instituicao. O remetente utiliza o correio eletronico no exercicio do seu
trabalho ou em razao dele, eximindo esta instituicao de qualquer
responsabilidade por utilizacao indevida. Se voce recebeu esta mensagem por
engano, favor elimina-la imediatamente."

"This message is reserved and its disclosure, distribution, reproduction or
any other form of use is prohibited and shall depend upon previous proper
authorization. The sender uses the electronic mail in the exercise of
his/her work or by virtue thereof, and the institution accepts no liability
for its undue use. If you have received this e-mail by mistake, please
delete it immediately."

R-SIG-Finance at r-project.org mailing list
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions
should go.

More information about the R-SIG-Finance mailing list