Johansen MLE, How to get the restrictions matrix?
Posted: Sun Oct 25, 2015 1:39 pm
Hello,
I was wondering if I can extract the restrictions matrix (denoted as R in Johansen's papers) used to impose identifying restrictions. I used the "Restrictions" panel in Eviews to impose the restrictions using code lines such as B(2,2)=0, B(3,1)=1 etc. and re-estimated the VECM. However, I am interested in viewing these restrictions in a matrix form (the R matrix), and if possible, full rank matrix H which is orthogonal to R.
Thanks,
London
I was wondering if I can extract the restrictions matrix (denoted as R in Johansen's papers) used to impose identifying restrictions. I used the "Restrictions" panel in Eviews to impose the restrictions using code lines such as B(2,2)=0, B(3,1)=1 etc. and re-estimated the VECM. However, I am interested in viewing these restrictions in a matrix form (the R matrix), and if possible, full rank matrix H which is orthogonal to R.
Thanks,
London