Innovation generation
Posted: Thu Mar 17, 2016 9:42 am
Hi all,
I am working at a stochastic model solving for var forecast on Eviews8. I have a Svar identification varcov matrix. How do I include that in the Innovation generation to substitute the Choleski?
Form Eviews help Innovation generation : "When normal random numbers are used, a set of independent random numbers are drawn from the standard normal distribution at each time period, then these numbers are scaled to match the desired variance-covariance structure of the system. In the general case, this involves multiplying the vector of random numbers by the Cholesky factor of the covariance matrix. If the matrix is diagonal, this reduces to multiplying each random number by its desired standard deviation.
Thanks,
Alessandro
I am working at a stochastic model solving for var forecast on Eviews8. I have a Svar identification varcov matrix. How do I include that in the Innovation generation to substitute the Choleski?
Form Eviews help Innovation generation : "When normal random numbers are used, a set of independent random numbers are drawn from the standard normal distribution at each time period, then these numbers are scaled to match the desired variance-covariance structure of the system. In the general case, this involves multiplying the vector of random numbers by the Cholesky factor of the covariance matrix. If the matrix is diagonal, this reduces to multiplying each random number by its desired standard deviation.
Thanks,
Alessandro