Interpretation of Choleski composition matrices

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alps
Posts: 28
Joined: Sun Feb 24, 2013 7:42 am

Interpretation of Choleski composition matrices

Postby alps » Wed May 15, 2013 1:34 pm

Hello,
I ran a SVAR using the lower triangle restriction and got the impulse and varience composition numbers.

Then I viewed the calculated A and B matrices. Is there a way of interpreting these numbers in the matrices? Do they mean anything? Thanks.
1 0 0
A = -0.23 1 0
0.18 0.5 1

0.03 0 0
B = 0 0.004 0
0 0 0.013

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