Thanks Matt. Should the lines below remain unchanged?
matrix A1 = @cholesky(qresidcov)
matrix A0 = varlagsums*A1
Search found 2 matches
- Tue Jul 09, 2019 12:20 pm
- Forum: Estimation
- Topic: Structural Shock Identification in VARs
- Replies: 3
- Views: 4763
- Tue Jul 09, 2019 9:37 am
- Forum: Estimation
- Topic: Structural Shock Identification in VARs
- Replies: 3
- Views: 4763
Structural Shock Identification in VARs
Dear all, I have successfully run a Panel SVAR code in EViews, but have been unable to interpret the portion of the code relating to the identification of the structural shock. I initially thought it was Short-run recursive (Cholesky), but this is not supported by the impulse response functions (i.e...