generalized vs. "orthogonalized" impulse responses

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Dthurley
Posts: 4
Joined: Fri Sep 18, 2009 3:01 pm

generalized vs. "orthogonalized" impulse responses

Postby Dthurley » Fri Sep 18, 2009 3:30 pm

I have two questions :
(1) How do you decide in whether to use generalized or orthogonalized impulse responses ...based on paper by Pesaran & Shin (1998) ? I have seen work here people have tested first for "non-diagonal error variance matrix" but I don't see any tests like that in EVIEWS
(2) If one decides to use the generalized impulse response, then, should variance decomposition be also based on the same assumption that the shocks are comtemporaneouly corrlated? If that's the case, where in EVIEWS do we have that option?

ppp007
Posts: 3
Joined: Sun Nov 20, 2011 5:39 am

Re: generalized vs. "orthogonalized" impulse responses

Postby ppp007 » Sun Nov 20, 2011 7:36 pm

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