Search found 3 matches
- 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?
- 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.
- 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?
