structural shocks in SVAR
Posted: 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
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