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Given that the VAR function cannot handle restrictions on lag coefficients and this can only be done equation by equation in a system, the question I now have is whether there is a convenient way to create impulse response functions for a system?

Thanks Gareth. I think I can see the series issue, which I guess stems from the fact that it log likelihood is typically used to estimate equation coefficients in conjunction with the variance. I am thinking that one possible way around this is to essentially set up a dummy series of 1's. Proper use...

Hamilton (1994) says pn page 332 that maximisation of the likelihood function (11.6.32) will produce estimates of B0 (the contemporaneous relationships between the variables) and D (the variance matrix of the structural innovations). Given that the estimates need to satisfy inv(B0)*D*(inv(B0))' = om...

If I have specified a system from a VAR and then excluded certain lags, I am then able to get a residuals. However, In order to identify the SVAR I still need to impose restrictions (in this case through the contemporaneous restrictions. Is this possible in EViews (5.1 or 6) with a system rather tha...

Hi, I read in Asteriou's "Applied Econometrics" page 327 that in doing a VECM "...there is another box that allows us to include (by typing their names) variables that will be treated as exogenous. Here we usually put variables that are either found to be I(0) or dummy variables that ...