I estimated a structural autoregressive model with the following R commands:
#estimate VAR-model
var=VAR(dat, p=2)
#define A and B matrix
A=matrix(c(1,0,NA,1),byrow=TRUE,nrow=2)
B=matrix(c(NA,0,0,NA),byrow=TRUE,nrow=2)
#estimate SVAR-model
svar=SVAR(x, Amat = A, Bmat = B)
When I try to calculate the impulse response functions with the R command:
irf(svar)
the following error message appears:
Error in diag<-
(*tmp*
, value = 1) :
only matrix diagonals can be replaced
Can someone explain the error message to me?
How do I apply the irf function to a svar model?