Hello,
How do we back out structural shocks from residuals of a VAR when the structural shocks are being identified with Cholesky decomposition. For example, I want to see the series of the structural shocks like I see the series of residuals.
Thanks,
Lauren
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- Fri May 01, 2015 1:42 pm
- Forum: Estimation
- Topic: Backing out structural shocks from residuals of a VAR
- Replies: 1
- Views: 2029