@StructResids converts standard VAR residuals into the equivalent structural innovations.
Detailed description
STRUCTRESIDS—Structural Innovations
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Alberto
- Posts: 19
- Joined: Tue May 06, 2008 8:14 am
Re: StructResids-Procedure to create structural innovations
Hi, this seems to be very useful.
For a simple Cholesky would it correct to use the %sigma matrix as factor?
@StructResids(factor=%sigma)
Thanks
Alberto
For a simple Cholesky would it correct to use the %sigma matrix as factor?
@StructResids(factor=%sigma)
Thanks
Alberto
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TomDoan
- Posts: 7825
- Joined: Wed Nov 01, 2006 4:36 pm
Re: StructResids-Procedure to create structural innovations
No. It would be @StructResids(factor=%decomp(sigma))Alberto wrote:Hi, this seems to be very useful.
For a simple Cholesky would it correct to use the %sigma matrix as factor?
@StructResids(factor=%sigma)
Thanks
Alberto
Last bumped by TomDoan on Sun Apr 14, 2024 6:34 pm.