restrict {vars}

Restricted VAR

Description

Estimation of a VAR, by imposing zero restrictions manually or by significance.

Usage

restrict(x, method = c("ser", "manual"), thresh = 2.0, resmat = NULL)

Arguments

x

An object of class ‘varest’ generated by VAR().

method

A character, choosing the method

thresh

If method ser: the threshhold value for the t-statistics.

resmat

If method manual: The restriction matrix.

Details

Given an estimated VAR object of class ‘varest’, a restricted VAR can be obtained by either choosing method ser or manual. In the former case, each equation is re-estimated separately as long as there are t-values that are in absolut value below the threshhold value set by the function's argument thresh. In the latter case, a restriction matrix has to be provided that consists of 0/1 values, thereby selecting the coefficients to be retained in the model.

Value

A list with class attribute ‘varest’ holding the following elements:

varresult

list of ‘lm’ objects.

datamat

The data matrix of the endogenous and explanatory variables.

y

The data matrix of the endogenous variables

type

A character, specifying the deterministic regressors.

p

An integer specifying the lag order.

K

An integer specifying the dimension of the VAR.

obs

An integer specifying the number of used observations.

totobs

An integer specifying the total number of observations.

restrictions

The matrix object containing the zero restrictions provided as argument resmat.

call

The call to VAR().

Note

Currently, the restricted VAR is estimated by OLS and not by an efficient EGLS-method.

Author(s)

Bernhard Pfaff

References

Hamilton, J. (1994), Time Series Analysis, Princeton University Press, Princeton.

Lütkepohl, H. (2006), New Introduction to Multiple Time Series Analysis, Springer, New York.

See Also

VAR

Examples

data(Canada)
var.2c <- VAR(Canada, p = 2, type = "const")
## Restrictions determined by thresh
restrict(var.2c, method = "ser")
## Restrictions set manually
restrict <- matrix(c(1, 1, 1, 1, 1, 1, 0, 0, 0, 
                     1, 0, 1, 0, 0, 1, 0, 1, 1,
                     0, 0, 1, 1, 0, 1, 0, 0, 1,
                     1, 1, 1, 0, 1, 1, 0, 1, 0),
                   nrow=4, ncol=9, byrow=TRUE)
restrict(var.2c, method = "man", resmat = restrict)