Hi,
The error terms of a reduced VAR model are contemporaneously associated, so people often use Cholesky decomposition to orthogonalize them.
However, in Eviews, I can only see the impulse responses at period 1 to, say, 10, but not the contemporaneous part, whereas Stata seems to report from period 0, the contemporaneous responses.
Could someone enlighten me on this?
Thanks!
VAR & IRF: contemporaneous responses
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