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STRUCTRESIDS—Structural Innovations
Posted: Thu Jun 07, 2007 3:31 pm
by TomDoan
@StructResids converts standard VAR residuals into the equivalent structural innovations.
Detailed description
Re: StructResids-Procedure to create structural innovations
Posted: Mon Dec 07, 2009 6:05 am
by Alberto
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
Re: StructResids-Procedure to create structural innovations
Posted: Sun Apr 14, 2024 6:34 pm
by TomDoan
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
No. It would be @StructResids(factor=%decomp(sigma))