[R] {vars} SVAR A-Model: Restrictions on Matrix A and Variance-Covariance-Matrix

[chili]

Thanks to Dennis Murphy   I was able to improve mein R-Code:

1) A-Matrix:

    A_Matrix <- diag(4)   # 4 restrictions
    A_Matrix[upper.tri(A_Matrix)] <- NA    # 6 further restrictions

2) Variance-Covariance-Matrix

    Xmat <- cbind(X1, X2, X3, X4)
    vs <- apply(Xmat, 2, var)
    VC_Matrix<- diag(vs) # final 6 restricions

That worked fine so far.

Now, is there any chance to implement the VC_Matrix it into my
SVAR-estimation?  



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