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- Tue Feb 11, 2014 8:21 am
- Forum: Estimation
- Topic: What is a 1 Chokesky Standard Dev in a log model?
- Replies: 0
- Views: 1409
What is a 1 Chokesky Standard Dev in a log model?
Hi Everyone, I'm estimating an SVAR model with variables in levels, which are transformed into logarithmic form. I estimate a VAR using the Cholesky decomposition, and get IRFs. The IRFs say that I obtain the 'response to one Cholesky SD'. Where do I find the values for these 'one Cholesky SD' units...