Structural VAR Restrictions

One of the key elements behind Structural VAR estimation is the necessary imposition of restrictions on the residual structure matrices.


These restrictions generally take the form of restrictions on the factorization matrices, A and B, restrictions on the short-run impulse response matrix S, or restrictions on the long-run impulse response matrix F (or C), or a combination of the above.


Previous versions of EViews only allowed restrictions on A and B, or on F. EViews 10 broadens the restriction engine by allowing restrictions on any of the four matrices, adding linear restrictions, and adds a new interface allowing easier specification of the restrictions.