# VAR.Rest: VAR parameter estimation with parameter restrictions In VAR.etp: VAR Modelling: Estimation, Testing, and Prediction

 VAR.Rest R Documentation

## VAR parameter estimation with parameter restrictions

### Description

Estimation of VAR with 0 restrictions on parameters

### Usage

```VAR.Rest(x, p, restrict, type = "const", method = "gls")
```

### Arguments

 `x` data matrix in column `p` VAR order `restrict` Restriction matrix under H0 `type` "const" for the AR model with intercept only, "const+trend" for the AR model with intercept and trend `method` "ols" for OLS estimation, "gls" for EGLS estimation

### Details

Restriction matrix is of m by 3 matrix where m is the number of restrictions. A typical row of this matrix (k,i,j), which means that (i,j) element of Ak matrix is set to 0. Ak is a VAR coefficient matrix (k = 1,....p).

### Value

 `coef ` coefficient matrix `resid ` matrix of residuals `sigu ` residual covariance matrix `zmat` data matrix `tstat` matrix of tratio corresponding to coef matrix

### Note

See Chapter 5 of Lutkepohl

Jae H. Kim

### References

Lutkepohl, H. 2005, New Introduction to Multiple Time Series Analysis, Springer

### Examples

```data(dat)
#replicating Section 5.2.10 of Lutkepohl (2005)
restrict = rbind( c(1,1,2),c(1,1,3),c(1,2,1),c(1,2,2), c(1,3,1),
c(2,1,1), c(2,1,2),c(2,1,3), c(2,2,2), c(2,2,3),c(2,3,1), c(2,3,3),
c(3,1,1), c(3,1,2), c(3,1,3), c(3,2,1), c(3,2,2), c(3,2,3), c(3,3,1),c(3,3,3),
c(4,1,2), c(4,1,3), c(4,2,1), c(4,2,2), c(4,2,3), c(4,3,1),c(4,3,2),c(4,3,3))
M= VAR.Rest(dat,p=4,restrict,type="const",method="gls")
print(M\$coef)
print(M\$tstat)

```

VAR.etp documentation built on July 2, 2022, 1:05 a.m.