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by bcfc82
Tue Apr 18, 2023 8:26 pm
Forum: Estimation
Topic: BVAR IRFs and Cholesky ordering
Replies: 5
Views: 11683

Re: BVAR IRFs and Cholesky ordering

OK, thanks. So the Bayesian IRF methods impose a diagonal cov matrix?
by bcfc82
Thu Apr 13, 2023 6:07 pm
Forum: Estimation
Topic: BVAR IRFs and Cholesky ordering
Replies: 5
Views: 11683

Re: BVAR IRFs and Cholesky ordering

Eviews 13 and Litterman/ Minnesota prior BVARs. IRFs using Bayesian sampling, but I get the same results using the posterior/ empirical residual covariances.
by bcfc82
Thu Apr 13, 2023 4:06 am
Forum: Estimation
Topic: BVAR IRFs and Cholesky ordering
Replies: 5
Views: 11683

BVAR IRFs and Cholesky ordering

Hi, I am estimating some simple Litterman-prior BVARs. When I generate the impulse responses, the Cholesky ordering seems not to matter to the output (the other variables always responds with a one period lag, regardless of the ordering). Is this normal behaviour?

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