Coefficient restrictions VAR

[EVG]

Hi all,

I am coding VAR estimations on EViews 7.2 and would like to set some coefficients to zero (that I find statistically or economically non-significant).

I only found the function .append but it seems to be reserved for cointegration (argument coint) or Structural VAR (argument svar)

Is there a way to restrict coefficients in case of simple VAR ?

Thanks in advance for your help.

[EViews Gareth]

No, although you can make a system out of the VAR and impose restrictions on the system coefficients. Proc->Make System.

You'll only be able to see the coefficient estimates though - you won't be able to do things like impulse responses.

[EVG]

Thanks for your prompt reply Gareth.

If I want to use the code and not the toolbox (I have many similar VAR to estimate), can I code a system and its Impulse Response function associated like for a VAR ?

[EViews Gareth]

Systems don't have impulse responses built in, but you could always program it yourself, I guess.