Mix of zero and sign restrictions

[KOBE24]

Hi Tom,

I just had a look at some paper using a mix of short-run restrictions and sign restrictions to recover structural shocks (see, for example, Peersman, 2010: please find the link below).

http://www.feb.ugent.be/fineco/gert/doc ... er2010.pdf

My feeling is that one shouls first estimate the VAR as usual, and then exploiting the short-run matrix A. But then how do you combine the drawing section for sign restrictions?

Every suggestion would be greatly appreciated!

Thanks a lot!

[TomDoan]

The combination of short-run zero restrictions plus sign restrictions is covered in the March 2009 newsletter.

http://www.estima.com/newslett/March2009RATSLetter.pdf

[KOBE24]

Dear Tom,

thanks a lot for your suggestion!

I will study the newsletter and then try and implement the code I need.

Regards