## VAR impulses with some coefficients constrained to be zero

Questions and discussions on Vector Autoregressions

### VAR impulses with some coefficients constrained to be zero

Dear all
I estimate a VAR model with the growth rates of the real GDP of 10 countries as the endogenoux variables.
I the calculate the impulse and the total cumulated impulses to evalute the impact of each country innovation on the gdp of the other countries.
Now I want to recalculate the impulses responses of the model but with the extra assumption that all the coefficients of one of the equations are set to zero (so as to assume that the country correspoinding to this equation has no influence in the tranmission of impulses).
How can I easily set all the he coefficients of one of the equations to zero before recalculating the impulses ?
Christophe Tavéra
tavera

Posts: 12
Joined: Thu Dec 10, 2009 10:50 am

### Re: VAR impulses with some coefficients constrained to be ze

I guess you can use the function "%modelsetcoeffs" to do this. (Page 562 of the Reference Manual for RATS 8.1.
jonasdovern

Posts: 68
Joined: Sat Apr 11, 2009 10:30 am

### Re: VAR impulses with some coefficients constrained to be ze

If you indeed want to estimate a standard VAR, then zero out some coefficients, the easiest way to do that would be to use %MODELSETCOEFFS. Are you sure, however, that you don't want to estimate a near-VAR instead with the zero block incorporated into your estimates?
TomDoan

Posts: 2725
Joined: Wed Nov 01, 2006 5:36 pm

### Re: VAR impulses with some coefficients constrained to be ze

Thank you for these quick responses.
I am going to try %MODELSETCOEFFS.
tavera

Posts: 12
Joined: Thu Dec 10, 2009 10:50 am