Suppose I estimate a VAR and then impose a Cholesky ordering assumption to conduct some structural analysis (IRFs, historical decompositions).
Eviews allows one to access both the reduced-form residuals (e) and the structural residuals (u).
But how can one access the corresponding matrix, as implied by the chosen Cholesky ordering, that connects the two, i.e. M such that e=Mu?
Peter
How to obtain the matrix connecting reduced-form and structural residuals in a VAR
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Re: How to obtain the matrix connecting reduced-form and structural residuals in a VAR
Hello,
After you perform either type of structural analysis, you can use the VAR object's @impfact data member to retrieve the underlying factorization matrix.
After you perform either type of structural analysis, you can use the VAR object's @impfact data member to retrieve the underlying factorization matrix.
Re: How to obtain the matrix connecting reduced-form and structural residuals in a VAR
Got it, thank you. I also realized it's referred to as the S matrix in the structural-VAR part of the Eviews documentation, and thus that one can also get to it via performing Structural Factorization upon estimating a reduced-form VAR and then imposing identification restrictions that boil down to the Cholesky ordering.
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- EViews Developer
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Re: How to obtain the matrix connecting reduced-form and structural residuals in a VAR
Quite right. Either of the first two SVAR restriction presets will produce an S matrix equivalent to a Cholesky decomposition.
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