Thanks to Dennis Murphy I was able to improve mein R-Code:
1) A-Matrix:
A_Matrix <- diag(4) # 4 restrictions
A_Matrix[upper.tri(A_Matrix)] <- NA # 6 further restrictions
2) Variance-Covariance-Matrix
Xmat <- cbind(X1, X2, X3, X4)
vs <- apply(Xmat, 2, var)
VC_Matrix<- diag(vs) # final 6 restricions
That worked fine so far.
Now, is there any chance to implement the VC_Matrix it into my
SVAR-estimation?
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