short and long run restrictions

Questions and discussions on Vector Autoregressions
asdavies6032
Posts: 7
Joined: Sat Feb 13, 2010 4:13 am

short and long run restrictions

Unread post by asdavies6032 »

I Need some help,
I want to construct a VAR model using short and long run restictions with 8 variables (real GDP, house price index, housing starts, GDP deflator, commodity price index, federal funds rate, mortgage interest rate, and nonborrowed reserve).My policy variable is the federal funds rate. I am confused as to how to set up the short run and long run restrictions. Any help will be appreciated
Albert
TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: short and long run restrictions

Unread post by TomDoan »

Is this an economic question or a technical one? If it's the latter, what do you have as your restrictions?
asdavies6032
Posts: 7
Joined: Sat Feb 13, 2010 4:13 am

Re: short and long run restrictions

Unread post by asdavies6032 »

thanks Tom. i have to figure out the restrictions i want to impose.
albert
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