Generating Innovations from VAR(1)
Posted: 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.