restrict_sh: Restricted VAR

In VARshrink: Shrinkage Estimation Methods for Vector Autoregressive Models

Restricted VAR

Description

Estimation of a VAR by imposing zero restrictions manually or by significance.

Usage

restrict_sh(x, ...)

Arguments

x	An object of class "varshrinkest"
...	Other arguments to vars::restrict()

Details

This is a modification of vars::restrict() for the class "varshrinkest". Given an estimated VAR object of class "varest" or "varshrinkest", a restricted VAR is obtained by choosing method "ser" or "manual". Note: this function fits a restricted VAR using ordinary least squares rather than a shrinkage method.

Value

An object of class "varest", a VAR model fitted using ordinary least squares. It contains an additional element restrictions, which is a zero-one matrix indicating which variables were fixed to zero.

See Also

restrict

Examples

data(Canada, package = "vars")
y <- diff(Canada)
estim <- VARshrink(y, p = 2, type = "const", method = "ridge")
restrict_sh(estim)

VARshrink documentation built on Jan. 10, 2026, 1:06 a.m.