Hi Andrew, if I understand your question correctly, then you would like to place constraints for your exogenous variables in some VAR equations. If so, please have a look at ?restrict.
As a toy example: library(vars) ?restrict data(Canada) N <- nrow(Canada) ExoVar <- matrix(runif(N)) colnames(ExoVar) <- "Exogenous" mod <- VAR(Canada, exogen = ExoVar) summary(mod) summary(restrict(mod)) here, ExoVar will be removed given that the plain vanilla call to restrict() removes all variables with insignificant coeffiecients (|t-stat| < 2.0) in a VAR equation. You can also provide a 'constraint' matrix for entering zero-constraints. HTH, Bernhard -----Ursprüngliche Nachricht----- Von: R-help [mailto:r-help-boun...@r-project.org] Im Auftrag von Castro, Andrew William Keahi Gesendet: Donnerstag, 23. Februar 2017 15:42 An: r-help@R-project.org Betreff: [EXT] [R] Impose Structure for Exogenous in vars Package Hello everyone, I see there are structural VAR options in the vars package for the endogenous variables, but is there any easy way to impose structure on the exogenous variable matrix (notated as the matrix C on page 45 of https://cran.r-project.org/web/packages/vars/vars.pdf). Thanks! [[alternative HTML version deleted]] ______________________________________________ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. ***************************************************************** Confidentiality Note: The information contained in this ...{{dropped:10}} ______________________________________________ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
