[R] SVAR Restriction on AB-model

vero_acurio vero_acurio at hotmail.com
Thu Jul 12 16:09:32 CEST 2012


I'm doing a svar and when I make the estimation the next error message

In SVAR(x, Amat = amat, Bmat = bmat, start = NULL, max.iter = 1000,  :
  The AB-model is just identified. No test possible.

Could you help me to interpret it please.

Also I have the identification assumption that one of my shocks is exogenous
relative to the contemporaneous values of the other variables in the SVAR,
could you help me with the construction of the restriction matrices A and B
of the SVAR model please?

Thanks a lot!

Best Regards,


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