R: Restricted VAR

restrict {vars} | R Documentation

## 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)

[Package vars version 1.5-3 Index]