Restricted_VECM

[lsym]

:eviews6: Hi, i estimate a restricted VAR model, where the coefficients of the lagged values of the 3rd variable in the system are restricted to be zero in all equations. The system is specified as follows:

X(t)=a1+a(1,1)X(t-1)+b(1,1)Y(t-1)+e(1,t)
Y(t)=a2+a(2,1)X(t-1)+b(2,1)Y(t-1)+e(2,t)
Z(t)=a3+a(3,1)X(t-1)+b(3,1)Y(t-1)+e(3,t)

where Z(t)=X(t)*Y(t) and a(.), b(.) the coefficients of the lagged endogenous variables.

Since it is not possible to estimate it directly from the VAR option in eviews i estimate it as a system. However, i would like to ask you how i select the number of lags in the system the lags selection criteria are not available in systems estimation. Thanks.

[EViews Gareth]

There is no automatic way. You'll have to estimate different specifications and compare information criteria manually.