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