SVAR Identification
Posted: Sat May 10, 2014 4:55 am
Dear!!!
I'm working with SVAR model and want to use 'A' type model by making 'B' identity matrix to identify my structural model via short run restriction. meanwhile, i get msg from eviews saying 'The B matrix is fixed and the structural innovation variances are not estimated. are you sure you want to proceed?' and i dont get what it supposed to mean?. moreover, somebody pls help me how to satisfay the rank condition while tring to identify!!!
your comment is very valuebla for me!!!
thanks in advance!!!!
I'm working with SVAR model and want to use 'A' type model by making 'B' identity matrix to identify my structural model via short run restriction. meanwhile, i get msg from eviews saying 'The B matrix is fixed and the structural innovation variances are not estimated. are you sure you want to proceed?' and i dont get what it supposed to mean?. moreover, somebody pls help me how to satisfay the rank condition while tring to identify!!!
your comment is very valuebla for me!!!
thanks in advance!!!!