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Hi everyone,
I have a residual matrix of his variance and covariance, however it is not ortogonal, how can I find the corrected model?
Is this the SVAR model?


Thank you!

Hello,

The residuals will never be perfectly orthogonal. If you're still working with the synthetic w y model you've posted in other forums, you can even see that your randomly generated innovations e and u are not perfectly orthogonal (just execute "cov u e"). You can certainly apply an SVAR model, which will give you numerically orthogonal structural residuals (or very close). Just keep in mind that applying an SVAR model requires you to make additional assumptions about how your variables are related, so you're really "choosing" a model rather than "finding" a model.

thank you for your response.
The problem is that I want to find the orthogonal residual matrix from the svar associated with a var and l dont how to create this matrix or how to create the svar with my original var.

Begin by reviewing the SVAR section of the EViews documentation. You're going to have to choose what SVAR model you want. Once you've successfully estimated the SVAR model, you can then generate the structural residual series and finally calculate the covariance matrix for those series.