"Separating VARs"

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kipfilet
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Joined: Wed Jul 08, 2009 7:12 am

"Separating VARs"

Postby kipfilet » Fri Nov 27, 2009 9:11 pm

I am currently estimating a 6-equation VAR. However, I am interested in estimating a AB type SVAR using only the last three equations of the VAR (i.e., I am only interested in the structural shocks implied in the last three equations). Is there anyway that I can "separate" the last 3 equations from the VAR, so I can estimate structural factorisation only for the last three sets of residuals?
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