Mixing long-run and short-run restrictions in SVAR
Posted: Thu Jan 20, 2011 10:35 pm
Hi
I am trying to estimate a SVAR like the one in Smets and Tsatsaronis (1997) and Gali (1992). The identification scheme involves a mixture of long-run and short-run restrictions. The EViews Manual says I cannot mix them but then I found this post http://forums.eviews.com/viewtopic.php?f=4&t=970 which confused me.
So is there ANY way to do it in EViews? If not, does anyone know any other package that would do it? Or do I have to resort to MATLAB (I guess?) or something else?
I use EViews 7 btw.
Many thanks!!
I am trying to estimate a SVAR like the one in Smets and Tsatsaronis (1997) and Gali (1992). The identification scheme involves a mixture of long-run and short-run restrictions. The EViews Manual says I cannot mix them but then I found this post http://forums.eviews.com/viewtopic.php?f=4&t=970 which confused me.
So is there ANY way to do it in EViews? If not, does anyone know any other package that would do it? Or do I have to resort to MATLAB (I guess?) or something else?
I use EViews 7 btw.
Many thanks!!