Retrieve structural shocks from SVAR

[turboac]

Hi,

I am using Eviews 7.2.

After estimating a VAR and setting the identifying restrictions, how can I retrieve the resulting structural innovations/shocks to use them for further analysis?

[aleconomista]

Hi!!

You have two options...eventhough with some extra calculus....: 1) get the inverse process using the matrix A and B that appears at the end of the structural factorization (Eviews report), 2) using the coeficcients of the structural factorization and the residual estimates in order to find the shocks in a recursively way....eventhough you will estimate structural shock adjusted (it's not so good)

The best calculus for a three variable model is (scheme 1):

matrix B=e(B)
residual e1
residual e2
residual e3
A matrix contains e1 e2 e3: matrix(e)
matrix of structural chocks=(inv(B)*e')'

See how to programate in Eviews.


I hope that these can help you.

[trubador]

You can use HDecomp add-in. Read the help file inside the folder for instructions...