STRUCTRESIDS-Structural Innovations

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STRUCTRESIDS-Structural Innovations

Postby TomDoan » Thu Jun 07, 2007 3:31 pm

@STRUCTRESIDS converts standard VAR residuals into the equivalent structural innovations.

structresids.src
Detailed description
TomDoan
 
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Re: StructResids-Procedure to create structural innovations

Postby Alberto » Mon Dec 07, 2009 7:05 am

Hi, this seems to be very useful.
For a simple Choleski would it correct to use the %sigma matrix as factor?
@StructResids(factor=%sigma)
Thanks
Alberto
Alberto
 
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Re: StructResids-Procedure to create structural innovations

Postby TomDoan » Wed Mar 11, 2015 1:48 pm

Alberto wrote:Hi, this seems to be very useful.
For a simple Choleski would it correct to use the %sigma matrix as factor?
@StructResids(factor=%sigma)
Thanks
Alberto


No. It would be @StructResids(factor=%decomp(sigma))


Last bumped by TomDoan on Wed Mar 11, 2015 1:48 pm.
TomDoan
 
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