Cholesky Decomposition and SVAR

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

Moderators: EViews Gareth, EViews Moderator

varprob
Posts: 6
Joined: Wed Jul 18, 2012 2:22 am

Cholesky Decomposition and SVAR

Postby varprob » Wed Jul 18, 2012 3:14 am

My VAR model has 4 endogenous variables. I want to use cholesky decomposition to get the impulse responses. My question is, is there any difference between the following two methods:
1. After estimation,Selecting 'cholesky-dof adjusted' and the specifying the the 'cholesky ordering' of the variables in the 'impilse responses' box and then click ok to get the impulse responses.
2. Using the SVAR method and specifying the B matrix (in the equation Ae=Bu) as:
NA 0 0 0
NA NA 0 0
NA NA NA 0
NA NA NA NA

Since I read in this forum previously that eviews does a lower triangualr cholesky decomposition; does that mean it is same as doing a SVAR as described in 2 and doing a normal VAR by selecting the cholesky ordering in the box as in 1?
I will really appriciate any comments...Thank you

Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 2 guests