Retrieve Structural resids

[zkontolemis]

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 in the conversion procedure.

[TomDoan]

You use the RESIDS option on ESTIMATE to get the VECT[SERIES] of residuals, then transform into the structural residuals with the @StructResids procedure. For a B-Q factorization, that goes like:

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estimate(resids=resids)
*
* Compute the Blanchard-Quah factorization of the covariance matrix
*
compute bqfactor=%bqfactor(%sigma,%varlagsums)
@structresids(factor=bqfactor) resids %regstart() %regend() sresids

For a Cholesky factorization, it would be

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estimate(resids=resids)
@structresids(factor=%decomp(%sigma)) resids %regstart() %regend() sresids

For a more general SVAR, you need to compute a factor of %sigma (call it, say, SFACTOR) and use

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@structresids(factor=sfactor) resids %regstart() %regend() sresids