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Choleski Decomposition

Posted: Sun Mar 10, 2013 10:41 am
by PERRYGOGAS
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

Re: Choleski Decomposition

Posted: Mon Mar 11, 2013 3:04 am
by PERRYGOGAS
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.

Re: Choleski Decomposition

Posted: Mon Mar 11, 2013 8:18 am
by EViews Gareth
I don't believe it is implemented.

Re: Choleski Decomposition

Posted: Mon Mar 11, 2013 12:18 pm
by PERRYGOGAS
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.