vars (version 1.1-9)

restrict: 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.

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().

encoding

latin1

concept

• VAR
• restricted VAR
• Vector autoregressive model

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.

References

Hamilton, J. (1994), Time Series Analysis, Princeton University Press, Princeton. L�tkepohl, 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 by significance
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)