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- Fri Feb 05, 2010 4:21 am
- Forum: Estimation
- Topic: structural shocks in SVAR
- Replies: 0
- Views: 1773
structural shocks in SVAR
Hi I put long run restrictions à la Blanchard and Quah and got estimates of the accumulated impulse responses. What I need now are structural shocks to compute correlation between them.How do I recover those series? By multiplying the residuals by the inverse of the B matrix? And should the covarian...