If method ser: the threshhold value for the
t-statistics.
resmat
If method manual: The restriction matrix.
Details
Given an estimated VAR object of class ‘varest’, a restricted VAR
can be obtained by either choosing method ser or
manual. In the former case, each equation is re-estimated
separately as long as there are t-values that are in absolut value below the
threshhold value set by the function's argument thresh. In the
latter case, a restriction matrix has to be provided that consists of
0/1 values, thereby selecting the coefficients to be retained in the
model.
Value
A list with class attribute ‘varest’ holding the
following elements:
varresult
list of ‘lm’ objects.
datamat
The data matrix of the endogenous and explanatory variables.
y
The data matrix of the endogenous variables
type
A character, specifying the deterministic regressors.
p
An integer specifying the lag order.
K
An integer specifying the dimension of the VAR.
obs
An integer specifying the number of used observations.
totobs
An integer specifying the total number of observations.
restrictions
The matrix object containing the zero restrictions
provided as argument resmat.
call
The call to VAR().
Note
Currently, the restricted VAR is estimated by OLS and not by an
efficient EGLS-method.
Author(s)
Bernhard Pfaff
References
Hamilton, J. (1994), Time Series Analysis, Princeton
University Press, Princeton.
Lütkepohl, H. (2006), New Introduction to Multiple Time Series
Analysis, Springer, New York.