impulse response for a SVAR model

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impulse response for a SVAR model

Postby nanie » Sat Nov 28, 2009 11:53 am

I wish to analyse impulse response for a SVAR model.
I have created the VAR and I have specified the short term identifying restrictions with matrix A and B, so I can create a SVAR (by structural factorisation). I know I have to estimate these matrices in order to use the structural option in impulse responses.
So I have estimated these matrices and to obtain my impulse response functions, I have to click on Structural decomposition in order to consider my matrices (or restrictions) right? The problem is that Eviews doesn't take into account my restrictions in its impulse response. However, when I click on the Cholesky option, it seems to work well. I want eviews to consider my restrictions for the impulse response but when I choose the Structural decomposition option in the Impulse response window, it doesn't. Thanks for your help.

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