How to estimate the coefficients of the MA representation of an SVAR?
Posted: Wed Jul 07, 2021 1:43 pm
I estimated a VAR model with 4 variables in reduced form and imposed long-run restrictions to obtain the structural estimation. So let me write the moving average representation of the structural model as follows (I am using LaTeX notation):
X_t=c_0\epsilon_{t}+c_1\epsilon_{t-1}+c_2\epsilon_{t-2}+…
where X_t is a vector of 4 stationary series, and epsilon_{t} is a vector of 4 structural shocks.
I want to obtain the estimate of the effect of the first structural shock on the second variable two periods into the future, i.e., \hat{c}_{2_{2,1}}. Can someone please tell me if I did it correctly? My procedure is the following (I am using EViews 12):
I select “Impulse” on the menu, then I choose the next options:
-Impulses: 1 (for the first structural shock)
-Responses: the name of the second variable
-Response standard errors: Method: None
-Horizon length: 10
-I am leaving the accumulate responses checkbox unmarked.
-Descomposition method: Structural Decomposition
Then I click “OK” and the third value of the responses should be the estimate I am looking for, am I right?
Any help will be very appreciated!
X_t=c_0\epsilon_{t}+c_1\epsilon_{t-1}+c_2\epsilon_{t-2}+…
where X_t is a vector of 4 stationary series, and epsilon_{t} is a vector of 4 structural shocks.
I want to obtain the estimate of the effect of the first structural shock on the second variable two periods into the future, i.e., \hat{c}_{2_{2,1}}. Can someone please tell me if I did it correctly? My procedure is the following (I am using EViews 12):
I select “Impulse” on the menu, then I choose the next options:
-Impulses: 1 (for the first structural shock)
-Responses: the name of the second variable
-Response standard errors: Method: None
-Horizon length: 10
-I am leaving the accumulate responses checkbox unmarked.
-Descomposition method: Structural Decomposition
Then I click “OK” and the third value of the responses should be the estimate I am looking for, am I right?
Any help will be very appreciated!