Re: [R] {vars} SVAR A-Model: Restrictions on Matrix A and Variance-Covariance-Matrix

Thanks to Dennis Murphy I was able to improve mein R-Code: 1) A-Matrix: A_Matrix <- diag(4) # 4 restrictions A_Matrix[upper.tri(A_Matrix)] <- NA# 6 further restrictions 2) Variance-Covariance-Matrix Xmat <- cbind(X1, X2, X3, X4) vs <- apply(Xmat, 2, var) VC_Matrix<-

[R] Restrict a SVAR A-Model on Matrix A and Variance-Covariance-Matrix

Hello folks! I'm using R-Package {vars} and I'm trying to estimate an A-Model. I have serious problems regarding the restrictions. 1) My A-Matrix needs (!) to have the following form: # 1 NA NA NA # 0 1 NA NA # 0 0 1 NA # 0 0 0 1 That is done in R by: A_Matrix <- diag(4) # m