Variance Decomposition in SVAR
Posted: Sun Jan 31, 2010 1:43 pm
Hi!
I estimated a SVAR system using long-run restrictions. The variables included are in first differences. I would like to get variance decompositions - using structural residuals - of one of those variables in levels. The problem is that since the variable in the system is in first-difference I cannot see how I can get variance decomposition of the level of that variable. Any ideas?
Thanks!
Kyriacos
I estimated a SVAR system using long-run restrictions. The variables included are in first differences. I would like to get variance decompositions - using structural residuals - of one of those variables in levels. The problem is that since the variable in the system is in first-difference I cannot see how I can get variance decomposition of the level of that variable. Any ideas?
Thanks!
Kyriacos