VECM and structural factorization option for variance decomposition
Posted: Sun Feb 18, 2018 12:44 am
Hi. I created a matrix of shocks. Used it for SVAR and also Vecm impulse responses. I used the "structural decomposition" for the SVAR variance decomposition and seems to call my matrix of shocks. However, when I tried to do variance decomposition in VECM using "structural Decomposition," it wasn't available. The only option is Cholesky ordering. why not? This makes my IR and Var Decomposition inconsistent. Please help. Thanks. BA