structural shocks in SVAR

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

Moderators: EViews Gareth, EViews Moderator

bqmc
Posts: 1
Joined: Fri Feb 05, 2010 4:00 am

structural shocks in SVAR

Postby bqmc » Fri Feb 05, 2010 4:21 am

Hi
I put long run restrictions à la Blanchard and Quah and got estimates of the accumulated impulse responses.
What I need now are structural shocks to compute correlation between them.How do I recover those series?
By multiplying the residuals by the inverse of the B matrix?
And should the covariance matrix of structural shocks be the identity matrix?
Thanks

bqmc

Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 2 guests