SVAR Matrix A and B
Posted: 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
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