EViews.com

Suppose I estimate a VAR and then impose a Cholesky ordering assumption to conduct some structural analysis (IRFs, historical decompositions).

Eviews allows one to access both the reduced-form residuals (e) and the structural residuals (u).

But how can one access the corresponding matrix, as implied by the chosen Cholesky ordering, that connects the two, i.e. M such that e=Mu?

Peter

Hello,

After you perform either type of structural analysis, you can use the VAR object's @impfact data member to retrieve the underlying factorization matrix.

Got it, thank you. I also realized it's referred to as the S matrix in the structural-VAR part of the Eviews documentation, and thus that one can also get to it via performing Structural Factorization upon estimating a reduced-form VAR and then imposing identification restrictions that boil down to the Cholesky ordering.

Quite right. Either of the first two SVAR restriction presets will produce an S matrix equivalent to a Cholesky decomposition.