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by nina
Sun Mar 23, 2014 4:09 am
Forum: Estimation
Topic: Residuals SVAR
Replies: 0
Views: 1423

Residuals SVAR

So far I have estimated the VAR and obtained the reduced form residuals. I estimated the matrix to be multiplied to the residuals to form the structural residuals. (it was Cholesky decomposition) However how do you actually multiply the matrix to the series of estimated residuals to get the SVAR res...

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