Hello! I am a big fan of the BVAR package.
Currently I am doing some research on the "price puzzle following Estrella (2014). The author writes it suffices to impose a zero restriction on the lag of the interest rate variable on the price measure.
I would love to implement this approach using BVAR but the code allows only for contemporaneous restrictions.
My question is (1) if you have an idea how to implement restrictions on the lagged coefficients using the existing interface (2) which function I would have to rewrite in order to implement this change myself? (3) If you maybe can think of an alternative way to implement such a zero-restriction?
Thank you very much for your help !!
Hello! I am a big fan of the BVAR package.
Currently I am doing some research on the "price puzzle following Estrella (2014). The author writes it suffices to impose a zero restriction on the lag of the interest rate variable on the price measure.
I would love to implement this approach using BVAR but the code allows only for contemporaneous restrictions.
My question is (1) if you have an idea how to implement restrictions on the lagged coefficients using the existing interface (2) which function I would have to rewrite in order to implement this change myself? (3) If you maybe can think of an alternative way to implement such a zero-restriction?
Thank you very much for your help !!