SVAR restrictions

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Dadaistul
Posts: 2
Joined: Thu Feb 04, 2010 2:17 pm

SVAR restrictions

Postby Dadaistul » Mon Feb 15, 2010 10:27 am

Hello,
I want to estimate a structural VAR and to impose some short run restrictions. So, if i have the following equations:

E1p=ep
E2r=er
E3c=a31*ep+a32*er+ec
E4s=a43*ec+es
E5n=a52*er+a53*ec+en
E5m=a64*es+a65*en+em

Then the following restrictions are correct?

@e1= C(1)*@u1
@e2 = C(3)*@u2
@e3 = C(4)*@e1 + C(5)*@e2 + C(6)*@u3
@e4 = C(9)*@e3 + C(10)*@u4
@e5 = C(12)*@e2 + C(13)*@e3 + C(15)*@u5
@e6 = C(19)*@e4 + C(20)*@e5 + C(21)*@u6

Thanks!

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