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- Wed May 05, 2010 12:40 pm
- Forum: VARs (Vector Autoregression Models)
- Topic: Retrieve Structural resids
- Replies: 1
- Views: 5335
Retrieve Structural resids
I want to estimate a simple VAR, use either Cholesky or Bernanke-Sims identification scheme and then retrieve the structural residuals. I know how to convert VAR into structural resids using the procedure. But I am not sure what is the best way to extract the residuals after Cholesky or Sims to use ...