What is a 1 Chokesky Standard Dev in a log model?

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Lithium55
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Joined: Tue Feb 11, 2014 8:16 am

What is a 1 Chokesky Standard Dev in a log model?

Postby Lithium55 » Tue Feb 11, 2014 8:21 am

Hi Everyone,

I'm estimating an SVAR model with variables in levels, which are transformed into logarithmic form. I estimate a VAR using the Cholesky decomposition, and get IRFs. The IRFs say that I obtain the 'response to one Cholesky SD'. Where do I find the values for these 'one Cholesky SD' units?

Is it a shock of 1% (as they are in logs), or should I check the standard errors of the estimates (which are to be found in view -> variance decomposition -> table)

Thanks in advance!

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