IRFRestrict—procedure for doing multi-step IRF Restriction

[TomDoan]

@IRFRestrict builds up (one constraint at a time) a restriction matrix for a "B" form structural VAR. When done, this will have constructed a matrix R so that the restrictions on the SVAR will take the form

(1) R vec(B) = 0

Then vec(B) = R-perp x theta

will represent all possible solutions to (1), where theta is a VECTOR of free parameters. The resulting model can be estimated using CVMODEL. The use of the procedure is covered in detail in the 2nd edition of the VAR e-course.

Detailed description

peersman_data.dat

Data for example

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