Thanks Matt. Should the lines below remain unchanged?
matrix A1 = @cholesky(qresidcov)
matrix A0 = varlagsums*A1
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- Tue Jul 09, 2019 9:37 am
- Forum: Estimation
- Topic: Structural Shock Identification in VARs
- Replies: 3
- Views: 1151
Dear all, I have successfully run a Panel SVAR code in EViews, but have been unable to interpret the portion of the code relating to the identification of the structural shock. I initially thought it was Short-run recursive (Cholesky), but this is not supported by the impulse response functions (i.e...