restrict: Restricted VAR
In cheaton/vars2: VAR Modelling

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	restrict(x, method = c("ser", "manual"), thresh = 2.0, resmat = NULL)

`x`	An object of class ‘`varest`’ generated by `VAR()`.
`method`	A character, choosing the method
`thresh`	If method `ser`: the threshhold value for the t-statistics.
`resmat`	If method `manual`: The restriction matrix.

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 ‘`lm`’ objects.
`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 `resmat`.
`call`	The `call` to `VAR()`.

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.

VAR

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)