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st: Constraints in SVAR


From   Beat Hintermann <bhintermann@arec.umd.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: Constraints in SVAR
Date   Mon, 14 Apr 2008 12:58:09 -0400

Hi there

I'm trying to constrain coefficients in a SVAR model according to a weighting matrix. It seems to me that neither the equality nor the cross-equation restriction options are applicable in this case, as I want all coefficients to be a linear function of one free parameter.

With many elements in the SVAR vector, it seems extremely inefficient to list one constraint after another and then use the aconstraint(numlist) option. Or is there an elegant way to define a set of constraints in matrix form?

Beat


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