VAR & IRF: contemporaneous responses

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loooooo
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Joined: Wed Dec 14, 2011 4:11 am

VAR & IRF: contemporaneous responses

Postby loooooo » Thu Mar 15, 2012 8:37 pm

Hi,

The error terms of a reduced VAR model are contemporaneously associated, so people often use Cholesky decomposition to orthogonalize them.
However, in Eviews, I can only see the impulse responses at period 1 to, say, 10, but not the contemporaneous part, whereas Stata seems to report from period 0, the contemporaneous responses.
Could someone enlighten me on this?

Thanks!

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