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Hi all...

I have problems in constructing constrained VAR. After estimating the unrestricted VAR, I would like to set its certain coefficients to zero and then translate them to impulse response function to compare the effect with the baseline VAR (unconstrained one), but I haven't found any possible way to do that yet.

Perhaps is there any useful suggestion?

I'd really appreciate your help in this matter... thank's a lot :)

I have problems in constructing constrained VAR. After estimating the unrestricted VAR, I would like to set its certain coefficients to zero and then translate them to impulse response function to compare the effect with the baseline VAR (unconstrained one), but I haven't found any possible way to do that yet.

Don't see a good way ... The VAR object doesn't allow constrained VAR estimation. System object can estimate coefficient constrained equations, but System can't generate impulse responses.