SVAR parameter standard errors

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cjiang3
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Joined: Thu Nov 13, 2014 11:01 am

SVAR parameter standard errors

Postby cjiang3 » Thu Nov 13, 2014 11:07 am

Hi everyone,

How to calculate the standard errors of SVAR parameters. I know how to estimate it for contemporaneous parameter. I want to know how about the others? Are SE for SVAR model going to be the same as these in VAR model (other parameters are the same in these two models)?

Thanks
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