VAR with short run and long run restrictions

Questions and discussions on Vector Autoregressions
Post Reply
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.
Attachments
sr_lr_posted.RPF
(1.39 KiB) Downloaded 765 times
Top
TomDoan
Posts: 7814
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.
Top
Post Reply

Return to “VARs (Vector Autoregression Models)”