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

[Eric Zivot]

Jim Hamilton mentions in his blog post about the paper
(http://econbrowser.com/archives/2015/10/economic-effects-of-shocks-to-oil-s
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. 
HTH
ez

-----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

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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