How do I apply boundary conditions to coefficients estimated in VAR model using VGXVARX / VGXSET / MVREGRESS?
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For specific reasons I want to limit the estimated coefficients in a 1st order VAR to a specific value, lets say 0.9. I assume that it must be possible, does anyone know how?
To be more specific, I know that it is possible to set various values to zero by using boolean matrices, but I want to limit the estimated coefficients in the AR matrix to a specific value.
Spec = vgxset('n', size(Z,2), 'ARsolve', mat);
[EstSpec, EstStdErrors, LLF, W] = vgxvarx(Spec,Z);
Hope anyone can help me, thanks in advance!
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