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Building a model from a structural VAR estimation

Posted: Thu Jan 14, 2016 7:15 am
by msj
Dear members,

when building a model from a SVAR estimation (via proc/make model) the imposed short-run restrictions seem not to be transferred to the model.

Does somebody know how one could possibly take the restrictions along to the generated model?

Much obliged!

Re: Building a model from a structural VAR estimation

Posted: Fri Jan 15, 2016 9:36 am
by EViews Glenn
Unfortunately, the only way to get a model object from that form of the VAR is to build the corresponding model in a system estimator.