how to get structural innovations from VECM residuals

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EktaS
Posts: 16
Joined: Fri Sep 09, 2011 4:45 am

how to get structural innovations from VECM residuals

Postby EktaS » Thu May 01, 2014 12:07 am

hi all

I am using a VECM to model the exchange rate and the interrelated macro variables. How can i get the structural innovations/pure shocks from the regression residuals by using choleski method.

Plz help and thanks in advance.
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