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Hello, I´m running a VAR and I want to set the insignificant coefficients in the equations to zero. How can I do this? (I don´t want to exclude a complete lag, only one single coefficient). Thanks a lot for your help!
Regards, Marie

You can't do that in a VAR. However you could convert your VAR into a system (proc->make system), and then remove the coefficients you want to set to zero. You lose the VAR specific post-estimation tools when you do that though (notably impulse responses).