Hello all,
I have estimated a 3 endogenous variable VECM. I need to get the structural errors by a Cholesky decomposition. How can I do this in Eviews?
Thank you very much,
Perry
Choleski Decomposition
Moderators: EViews Gareth, EViews Moderator
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Re: Choleski Decomposition
For the above, I cannot use the "Estimate Structural Factorization" option as it is not available for VECMs.
How can I do this without this option?
I need to extract the structural residuals.
How can I do this without this option?
I need to extract the structural residuals.
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- Fe ddaethom, fe welon, fe amcangyfrifon
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Re: Choleski Decomposition
EViews Gareth wrote:I don't believe it is implemented.
I do not think either, but I was wondering if there is a way to do it manually.
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