SVAR Matrix A and B

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stefanp
Posts: 63
Joined: Wed Sep 30, 2015 12:24 am

SVAR Matrix A and B

Postby stefanp » Fri Nov 27, 2015 3:22 am

Dear all,

I' m working on a block recursive VAR. Hence, my identification matrix is not lower triangular. Clearly, in order to impose the restrictions I need to specify matrix A.

However, why do I need matrix B? And how do I obtain this matrix B?

Best,
Stefan
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stefanp
Posts: 63
Joined: Wed Sep 30, 2015 12:24 am

Re: SVAR Matrix A and B

Postby stefanp » Mon Nov 30, 2015 5:36 am

No ideas?
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