Jim Hamilton mentions in his blog post about the paper (http://econbrowser.com/archives/2015/10/economic-effects-of-shocks-to-oil-s upply-and-demand ) that he has Matlab code for the calculations that can be downloaded from his webpage (http://econweb.ucsd.edu/~jhamilton/BHcode.zip ). I would start there to convert to R. HTH ez
-----Original Message----- From: R-SIG-Finance [mailto:[email protected]] On Behalf Of Felipe Bergamin Boralli Sent: Monday, October 26, 2015 10:53 AM To: '[email protected]' <[email protected]> Subject: [R-SIG-Finance] VAR identified by sign restrictions Hello, I would like to run a Vector Autoregression (VAR) identified by sign restrictions, as in this paper: Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information - Baumeister et al http://econweb.ucsd.edu/~jhamilto/bh1.pdf Before implementing this, I would like to see if someone else has already done it, and I have not found it either in CRAN or in this list archives. Is there somewhere this routine is implemented? Thanks for your help. Felipe "Esta mensagem e reservada e sua divulgacao, distribuicao, reproducao ou qualquer forma de uso e proibida e depende de previa autorizacao desta instituicao. O remetente utiliza o correio eletronico no exercicio do seu trabalho ou em razao dele, eximindo esta instituicao de qualquer responsabilidade por utilizacao indevida. Se voce recebeu esta mensagem por engano, favor elimina-la imediatamente." "This message is reserved and its disclosure, distribution, reproduction or any other form of use is prohibited and shall depend upon previous proper authorization. The sender uses the electronic mail in the exercise of his/her work or by virtue thereof, and the institution accepts no liability for its undue use. If you have received this e-mail by mistake, please delete it immediately." _______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. _______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
