how to get structural innovations from VECM residuals
Posted: 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.
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.