SVAR residuals

[bab]

Hello,

I've estimated a SVAR and need to get the orthogonalized residuals (because they have the interpretation of structural shocks). Especifically, I need the series of structural shocks. Does anyone know a simple way to get that?

Thank you in advance!

[bab]

Ok, maybe not that simple! Could somebody help me?
Specially with Cholesky orthogonalization

[trubador]

HDecomp add-in lets you save the structural residuals with respect to your choice of orthogonalization.

[mth]

Hi,

I am having a similar problem. I would like to obtain a historical decomposition for a SVAR with two endogenous variables and a long-run restriction. I successfully managed to run a structural decomposition with the HDecomp add-in. But does anyone know how to interpret the output? (for the two-variable VAR I get six columns).

Many thanks in advance!

[trubador]

The document hdecomp.pdf in the add-in folder includes a case study that makes of this method, which might be helpful in this regard. Moreover, you can refer to W. Enders' "Applied Econometric Time Series" textbook for a detailed explanation of the approach along with several examples.

[mth]

Many thanks! That helps a lot. I hadn't noticed the add-ins folder before.

[mmm]

Hello!

I also estimated a SVAR with two endogenous variables and long run restrictions and used the hdecomp add-in in order to obtain the structural residuals. I obtained that matrix with six columns and i am not very sure what are the series of my structural residuals (I should get two in my case...). I have also checked the hdecomp.pdf example but I am still a little confused.
If someone could help me figure it out, it would be much appreciated.

Thank you very much!