library(dse1) library(vars) ## B-model Apoly <- array(c(1.0, -0.5, 0.3, 0, 0.2, 0.1, 0, -0.2, 0.7, 1, 0.5, -0.3) , c(3, 2, 2)) ## Setting covariance to identity-matrix B <- diag(2) B[2, 1] <- -0.8 ## Generating the VAR(2) model svarB <- ARMA(A = Apoly, B = B) ## Simulating 500 observations svarsim <- simulate(svarB, sampleT = 500, rng = list(seed = c(123456))) svardat <- matrix(svarsim$output, nrow = 500, ncol = 2) colnames(svardat) <- c("y1", "y2") varest <- VAR(svardat, p = 2, type = "none") ## Estimating the SVAR B-type by scoring algorithm ## Setting up the restriction matrix and vector ## for B-model Bmat <- diag(2) Bmat[2, 1] <- NA svar.B <- SVAR(varest, estmethod = "scoring", Bmat = Bmat, max.iter = 200)