FAVAR: two-block model

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m_07
Posts: 2
Joined: Sat Jul 16, 2022 4:11 pm

FAVAR: two-block model

Postby m_07 » Thu Aug 04, 2022 6:44 am

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.
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dakila
Posts: 446
Joined: Tue Nov 24, 2015 4:57 pm

Re: FAVAR: two-block model

Postby dakila » Thu Aug 04, 2022 8:27 pm

Hello,

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

m_07
Posts: 2
Joined: Sat Jul 16, 2022 4:11 pm

Re: FAVAR: two-block model

Postby m_07 » Fri Aug 05, 2022 12:30 pm

Thank you so much for your response, really valuable.


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