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- Wed Jul 07, 2021 1:43 pm
- Forum: Estimation
- Topic: How to estimate the coefficients of the MA representation of an SVAR?
- Replies: 1
- Views: 9429
How to estimate the coefficients of the MA representation of an SVAR?
I estimated a VAR model with 4 variables in reduced form and imposed long-run restrictions to obtain the structural estimation. So let me write the moving average representation of the structural model as follows (I am using LaTeX notation): X_t=c_0\epsilon_{t}+c_1\epsilon_{t-1}+c_2\epsilon_{t-2}+… ...