SVAR with GARCH errors

[terrya]

Can the system object be used to estimate a structural VAR with GARCH errors?

[trubador]

http://forums.eviews.com/viewtopic.php? ... 76&p=33316

[terrya]

Thanks. I must have missed this.

[terrya]

Hi

I've looked again at the link and I can't see how the VAR is a structural VAR. It looks like an ordinary VAR to me, which, of course, I've always known how to estimate. Have I missed something about the VAR part that makes it an SVAR?

[trubador]

You can define the contemporaneous relationships in the VAR part. Or you can prefer two-step estimation...