Structural VAR
Posted: Fri Jul 25, 2014 3:18 am
I am trying to run an SVAR model with 7 variables. The methodology I am following requires that I exclude the lags of some variables from some of the equations. How do I do that? i can't seem to figure out how to remove certain lags from the model.
Also in estimating the structural factorization with the short run matrices A and B, are the restrictions only placed on the contemporaneous relations?
Also in estimating the structural factorization with the short run matrices A and B, are the restrictions only placed on the contemporaneous relations?