Restrict the range of coefficients in varm function

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ztcnkdx 2023-3-22

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https://ww2.mathworks.cn/matlabcentral/answers/1933150-restrict-the-range-of-coefficients-in-varm-function

回答： Rijuta 2023-4-21

I was trying to run a VAR model, with restrictions on the coefficients that it cannot be negative. For example, in

I want all the

.

Is there a way to implement such constraint in the function varm() or estimate() in the econometrics toolbox? Thanks!

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Answer 1

Rijuta 2023-4-21

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Hi,

I understand that you are the econometrics toolbox in MATLAB to provide built-in support for imposing constraints on coefficients, such as non-negativity constraints, in the ‘varm’ or ‘estimate’ functions for fitting vector autoregressive (VAR) models.

Unfortunately, this is currently not possible in MATLAB. However, if possible, you can implement such constraints (coefficient > 0) on your own by modifying the estimated coefficients after estimating the VAR model using the econometrics toolbox.