wbnicholson/BigVAR

Restrictions on coefficients

TuSKan opened this issue · 4 comments

TuSKan commented

Is possible to include some restrictions on coefficients (such as setting coefficients to zero) in VARXFit?
The Foschi and Kontoghiorghes 2013 - Estimation on VAR Models Computational Aspects page 12 session 4. VAR Models with Zero Coefficient Constraints ( VAR model can be written as the SURE model ...) is implemented on BigVAR ?

wbnicholson commented

That is a feature that could be added. Are you envisioning a scenario in which the lag order is fixed (hence requiring the specification of a k x kp restriction matrix or unknown (requiring a kxk restriction matrix)?

The approach from Foschi and Kontoghiorghes is not yet included in the package due to some compatibility issues with the existing code. I will either try to incorporate it or release it as supplementary code in the near future.

runnytone commented

Looking forward to the supplementary.

wbnicholson commented

@TuSKan @runnytone My sincerest apologies on the extremely long delay. I have added the IFGLS standalone code with a small example. It is still very preliminary so I cannot guarantee its stability. Please let me know if you have further questions.

runnytone commented

Thanks for your help :)