FAVAR: two-block model

[m_07]

Hello,

I am trying to estimate the following model (see attached image). Where Y* denotes foreign observable variables and F denotes unobservable domestic factors. Because I would like to study the transmission of a large country to a small country, I set theta_12 = 0; so domestic factors do not affect foreign observable variables.

My question is: is it possible to set this restriction (theta_12=0) with EViews current FAVAR Add-in?

Many thanks.

[dakila]

Hello,

No, it is not possible set this restriction. But I will try to include this kind restriction if time permits

[m_07]

Thank you so much for your response, really valuable.