Description Usage Arguments Details Value Note Author(s) References See Also Examples

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

1 |

`x` |
An object of class ‘ |

`method` |
A character, choosing the method |

`thresh` |
If method |

`resmat` |
If method |

Given an estimated VAR object of class ‘`varest`

’, a restricted VAR
can be obtained by either choosing method `ser`

or
`manual`

. In the former case, each equation is re-estimated
separately as long as there are t-values that are in absolut value below the
threshhold value set by the function's argument `thresh`

. In the
latter case, a restriction matrix has to be provided that consists of
0/1 values, thereby selecting the coefficients to be retained in the
model.

A list with class attribute ‘`varest`

’ holding the
following elements:

`varresult` |
list of ‘ |

`datamat` |
The data matrix of the endogenous and explanatory variables. |

`y` |
The data matrix of the endogenous variables |

`type` |
A character, specifying the deterministic regressors. |

`p` |
An integer specifying the lag order. |

`K` |
An integer specifying the dimension of the VAR. |

`obs` |
An integer specifying the number of used observations. |

`totobs` |
An integer specifying the total number of observations. |

`restrictions` |
The matrix object containing the zero restrictions
provided as argument |

`call` |
The |

Currently, the restricted VAR is estimated by OLS and not by an efficient EGLS-method.

Bernhard Pfaff

Hamilton, J. (1994), *Time Series Analysis*, Princeton
University Press, Princeton.

LÃ¼tkepohl, H. (2006), *New Introduction to Multiple Time Series
Analysis*, Springer, New York.

1 2 3 4 5 6 7 8 9 10 11 | ```
data(Canada)
var.2c <- VAR(Canada, p = 2, type = "const")
## Restrictions determined by thresh
restrict(var.2c, method = "ser")
## Restrictions set manually
restrict <- matrix(c(1, 1, 1, 1, 1, 1, 0, 0, 0,
1, 0, 1, 0, 0, 1, 0, 1, 1,
0, 0, 1, 1, 0, 1, 0, 0, 1,
1, 1, 1, 0, 1, 1, 0, 1, 0),
nrow=4, ncol=9, byrow=TRUE)
restrict(var.2c, method = "man", resmat = restrict)
``` |

Embedding an R snippet on your website

Add the following code to your website.

For more information on customizing the embed code, read Embedding Snippets.