PVAR-historical decomposition
Posted: Sat Feb 09, 2019 11:59 am
Hi: I am estimating a panel VAR and using a simple cholesky decomposition of identification. I understand impulse responses in this exercise would refer to a some cross-sectional average impulse response.
I am more keen in the historical decomposition. And even if it is estimated as a panel, one should be able to recover country-specific decomposition. But all that Eviews provide is the decomposition for the first country listed in the panel. Is there any way I can get decomposition for the other countries? Or even for the panel average?
I am more keen in the historical decomposition. And even if it is estimated as a panel, one should be able to recover country-specific decomposition. But all that Eviews provide is the decomposition for the first country listed in the panel. Is there any way I can get decomposition for the other countries? Or even for the panel average?