Choleski Decomposition

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

Moderators: EViews Gareth, EViews Moderator

PERRYGOGAS
Posts: 36
Joined: Sat Nov 01, 2008 12:22 pm

Choleski Decomposition

Postby PERRYGOGAS » Sun Mar 10, 2013 10:41 am

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

PERRYGOGAS
Posts: 36
Joined: Sat Nov 01, 2008 12:22 pm

Re: Choleski Decomposition

Postby PERRYGOGAS » Mon Mar 11, 2013 3:04 am

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.

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 12199
Joined: Tue Sep 16, 2008 5:38 pm

Re: Choleski Decomposition

Postby EViews Gareth » Mon Mar 11, 2013 8:18 am

I don't believe it is implemented.
Follow us on Twitter @IHSEViews

PERRYGOGAS
Posts: 36
Joined: Sat Nov 01, 2008 12:22 pm

Re: Choleski Decomposition

Postby PERRYGOGAS » Mon Mar 11, 2013 12:18 pm

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.


Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 5 guests