BVAR IRFs and Cholesky ordering
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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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- Fe ddaethom, fe welon, fe amcangyfrifon
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Re: BVAR IRFs and Cholesky ordering
Which version of EViews, and which type of IRF?
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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.
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Re: BVAR IRFs and Cholesky ordering
Yes, impulse response results should be invariant to Cholesky ordering under impulse methods that use a diagonal error covariance matrix.
Re: BVAR IRFs and Cholesky ordering
OK, thanks. So the Bayesian IRF methods impose a diagonal cov matrix?
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- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13323
- Joined: Tue Sep 16, 2008 5:38 pm
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