Search found 1 match
- Fri Sep 10, 2021 9:21 am
- Forum: VARs (Vector Autoregression Models)
- Topic: Identification by Sign-Restrictions PLUS Zero-Restrictions
- Replies: 12
- Views: 126276
Re: Identification by Sign-Restrictions PLUS Zero-Restrictio
Hi Tom, I am trying to estimate a 5 variable VAR using sign and zero restrictions. I am following Mountford and Uhlig (2009) penalty function replication file with delayed shocks. I'm struggling to modify the code such that both first and second variable are restricted to 0 on impact. I get that rep...