Hello,
I want to know how to get impulse responses functions normalized by the shock (divided by standard deviation) with montevar.prg.
Thank you
VAR
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VAR
by N. BEN CHEIKH » Tue Jun 24, 2008 5:04 am
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by TomDoan » Thu Jul 03, 2008 10:25 am
If FSIGMA is the Choleski factor of the draw, what you need is FSIGMA renormalized to unit diagonals, that is,
fsigma*inv(%diag(%xdiag(fsigma)))
Use that for the DECOMP/FACTOR option on the IMPULSE instruction inside the loop.
fsigma*inv(%diag(%xdiag(fsigma)))
Use that for the DECOMP/FACTOR option on the IMPULSE instruction inside the loop.
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montevar.prg nomalized code
by N. BEN CHEIKH » Thu Jul 10, 2008 5:50 am
Hello,
I've tried to use this but it doesn't work, can you send me the montevar.prg code with impulse responses normalized by the shock.
Thank you
I've tried to use this but it doesn't work, can you send me the montevar.prg code with impulse responses normalized by the shock.
Thank you
- N. BEN CHEIKH
- Posts: 5
- Joined: Thu Jun 19, 2008 8:40 am
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