Search found 2 matches

by Jason2011
Tue Jul 09, 2019 12:20 pm
Forum: Estimation
Topic: Structural Shock Identification in VARs
Replies: 3
Views: 160

Re: Structural Shock Identification in VARs

Thanks Matt. Should the lines below remain unchanged?

matrix A1 = @cholesky(qresidcov)
matrix A0 = varlagsums*A1
by Jason2011
Tue Jul 09, 2019 9:37 am
Forum: Estimation
Topic: Structural Shock Identification in VARs
Replies: 3
Views: 160

Structural Shock Identification in VARs

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...

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