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Hello,

How do we back out structural shocks from residuals of a VAR when the structural shocks are being identified with Cholesky decomposition. For example, I want to see the series of the structural shocks like I see the series of residuals.

Thanks,
Lauren

You can use the hdecomp add-in. Just enter the name of your estimated VAR model and then check the box saying: "Save the Structural Residuals". The default decomposition method is already defined as "Cholesky - dof adjusted", so you do not have to change anything else.