"Separating VARs"
Posted: Fri Nov 27, 2009 9:11 pm
I am currently estimating a 6-equation VAR. However, I am interested in estimating a AB type SVAR using only the last three equations of the VAR (i.e., I am only interested in the structural shocks implied in the last three equations). Is there anyway that I can "separate" the last 3 equations from the VAR, so I can estimate structural factorisation only for the last three sets of residuals?