help!!! user specified shock in SVAR
Posted: Tue Apr 09, 2013 3:25 am
Hi there
I have a Structural VAR model with GDP, government spending and taxation. The vector is transpose (gdp, tax, gov spending)
I have structurally decomposed the model and have two matrixs A and B.
Now I want to use the user specified shock, to make one unit government spending structural shock.
What is the way to calculate the specific shock to have one unit government spending shock?
I used specific shock=A^-1 *B* I, where I is the
0.000
0.000
1.000
Is this right?
I have a Structural VAR model with GDP, government spending and taxation. The vector is transpose (gdp, tax, gov spending)
I have structurally decomposed the model and have two matrixs A and B.
Now I want to use the user specified shock, to make one unit government spending structural shock.
What is the way to calculate the specific shock to have one unit government spending shock?
I used specific shock=A^-1 *B* I, where I is the
0.000
0.000
1.000
Is this right?