User Specified Impulse Response Function
Posted: Sat Jul 06, 2013 2:56 am
I estimated a VAR(1) for eight endogenous variables and a constant. Now I would like to compute the impulse response functions of all the variables to a simultaneous shock of two of the variables. I tried to use user specified shocks and input the vector containing the shocks, but it seems to me that using this option it does not orthogonalize the residuals. Does someone know a way to give multiple shocks and still orthogonalize the residuals?
Thanks!!!
Thanks!!!