SVAR imposing block exogeneity
Posted: Tue Oct 25, 2016 3:13 pm
Hi everyone,
I'm trying to run an SVAR with an imposed block exogeneity restriction in the sense of Cushman and Zha (1997). My advisor tells me I can't do this in eviews last time he checked. Just wanted to confirm that this indeed is the case. I was under the impression that if I had the exogeneity restrictions in my restriction matrix, then it should run properly. Attached is the block exogeneity restriction I want to include as well as my system of contemporaneous equations for my restrictions matrix.
Any thoughts/comments are appreciated!
I'm trying to run an SVAR with an imposed block exogeneity restriction in the sense of Cushman and Zha (1997). My advisor tells me I can't do this in eviews last time he checked. Just wanted to confirm that this indeed is the case. I was under the impression that if I had the exogeneity restrictions in my restriction matrix, then it should run properly. Attached is the block exogeneity restriction I want to include as well as my system of contemporaneous equations for my restrictions matrix.
Any thoughts/comments are appreciated!