VAR & IRF: contemporaneous responses
Posted: 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!
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!