Residuals SVAR
Posted: Sun Mar 23, 2014 4:09 am
So far I have estimated the VAR and obtained the reduced form residuals.
I estimated the matrix to be multiplied to the residuals to form the structural residuals. (it was Cholesky decomposition)
However how do you actually multiply the matrix to the series of estimated residuals to get the SVAR residuals?
My ultimate task is to plot the residuals for SVAR. Please help me on this. Thank you.
I estimated the matrix to be multiplied to the residuals to form the structural residuals. (it was Cholesky decomposition)
However how do you actually multiply the matrix to the series of estimated residuals to get the SVAR residuals?
My ultimate task is to plot the residuals for SVAR. Please help me on this. Thank you.