Search found 2 matches

by Jandh
Thu May 21, 2015 1:21 am
Forum: Econometric Discussions
Topic: Cholesky decomposition in VARs and SVARs
Replies: 0
Views: 2353

Cholesky decomposition in VARs and SVARs

For our thesis, we are estimating a SVAR model. However, we wonder what is the difference between a VAR and a SVAR IRF and variance decomposition? We've understood that the Cholesky ordering is a "solution" to the lack of theory wrt variable ordering, and can be used both in VARs and SVARs...
by Jandh
Sat Feb 07, 2015 4:09 pm
Forum: Econometric Discussions
Topic: Cross-section vs time fixed effects
Replies: 0
Views: 2491

Cross-section vs time fixed effects

Hey, I'm investigating whether the capital structure of 29 chosen firms changed during the financial crisis with a dataset from 2006 until 2013. I ran the Hausmann test, revealing that the fixed effects model was more efficient than the random with a p-value less than 1%. However, I wonder how I can...

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