structural factorization based on forecast innovations

[Barsky2718]

Dear Tom and others,

In the context of studying "news shocks" (in the sense of Beaudry and Portier), I would like to compute impulse responses to innovations in the optimal forecasts (at various horizons) of one of variables in the VAR. For example, in the cae of the infinite-horizon forecast I am interested in a (partial) structuralizion in which the first (or second) structural shock is the innovation in the multivariate Beveridge-Nelson decomposition implied by the VAR. Assuming I am not missing any conceptual problems with this, how would I program this in RATS? Thanks for you help. Bob

[Barsky2718]

Clarification: I of course mean the innovation in the multivariate BN trend for just *one* of the variables. thankS! Bob