Generating Innovations from VAR(1)

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fan
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Joined: Fri Oct 17, 2014 4:07 pm

Generating Innovations from VAR(1)

Postby fan » Tue Oct 28, 2014 1:52 pm

Hi, I am new to Eviews. I am trying to generate innovations from a VAR(1) model. My question is how I can orthogonalize the innovations in the ordering as shown the model and scale them to have the variance as innovations to the first element (R_(m,t)). Thank you for the help.
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