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Retrieve structural shocks from SVAR
Posted: Thu Jul 11, 2013 7:26 am
by turboac
Hi,
I am using Eviews 7.2.
After estimating a VAR and setting the identifying restrictions, how can I retrieve the resulting structural innovations/shocks to use them for further analysis?
Re: Retrieve structural shocks from SVAR
Posted: Tue Jul 16, 2013 4:12 pm
by aleconomista
Hi!!
You have two options...eventhough with some extra calculus....: 1) get the inverse process using the matrix A and B that appears at the end of the structural factorization (Eviews report), 2) using the coeficcients of the structural factorization and the residual estimates in order to find the shocks in a recursively way....eventhough you will estimate structural shock adjusted (it's not so good)
The best calculus for a three variable model is (scheme 1):
matrix B=e(B)
residual e1
residual e2
residual e3
A matrix contains e1 e2 e3: matrix(e)
matrix of structural chocks=(inv(B)*e')'
See how to programate in Eviews.
I hope that these can help you.
Re: Retrieve structural shocks from SVAR
Posted: Wed Jul 24, 2013 12:53 am
by trubador
You can use
HDecomp add-in. Read the help file inside the folder for instructions...