VAR with short run and long run restrictions

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indrani_5
Posts: 50
Joined: Tue Apr 12, 2016 10:09 pm

VAR with short run and long run restrictions

Unread post by indrani_5 »

I ma trying to estimate a model with short run and long run restrictions. I have used some help from the Bjorland-Leitemo paper. However, my model is an overidentified model. How do I modify the code to accommodate overidentification in such models.
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TomDoan
Posts: 7826
Joined: Wed Nov 01, 2006 4:36 pm

Re: VAR with short run and long run restrictions

Unread post by TomDoan »

Sorry. You can't. Read Section 7.5.3 in the User's Guide.
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