Interpretation of Choleski composition matrices
Posted: Wed May 15, 2013 1:34 pm
Hello,
I ran a SVAR using the lower triangle restriction and got the impulse and varience composition numbers.
Then I viewed the calculated A and B matrices. Is there a way of interpreting these numbers in the matrices? Do they mean anything? Thanks.
1 0 0
A = -0.23 1 0
0.18 0.5 1
0.03 0 0
B = 0 0.004 0
0 0 0.013
I ran a SVAR using the lower triangle restriction and got the impulse and varience composition numbers.
Then I viewed the calculated A and B matrices. Is there a way of interpreting these numbers in the matrices? Do they mean anything? Thanks.
1 0 0
A = -0.23 1 0
0.18 0.5 1
0.03 0 0
B = 0 0.004 0
0 0 0.013