Structural shocks in a VAR
Posted: Wed Jun 23, 2010 2:55 am
Dear participants:
I’m estimating a VAR, in order to calculate the structural shocks I apply cholesky decomposition. I’m interested not only in the impulse responses but also in the structural shocks. The problem is that once I estimate cholesky decomposition I can’t find the structural shocks. I can`t find neither matrix A and B, in order to calculate the structural shocks. (Reduced residual are easy to compute through view/residuals, but for my interpretations the relevant information is the orthogonal structural residuals)
Many thanks in advance,
Eduardo Esteve
I’m estimating a VAR, in order to calculate the structural shocks I apply cholesky decomposition. I’m interested not only in the impulse responses but also in the structural shocks. The problem is that once I estimate cholesky decomposition I can’t find the structural shocks. I can`t find neither matrix A and B, in order to calculate the structural shocks. (Reduced residual are easy to compute through view/residuals, but for my interpretations the relevant information is the orthogonal structural residuals)
Many thanks in advance,
Eduardo Esteve