STRUCTRESIDS—Structural Innovations

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TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

STRUCTRESIDS—Structural Innovations

Post by TomDoan »

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

Detailed description
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Alberto
Posts: 19
Joined: Tue May 06, 2008 8:14 am

Re: StructResids-Procedure to create structural innovations

Post 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
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TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: StructResids-Procedure to create structural innovations

Post 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))


Last bumped by TomDoan on Sun Apr 14, 2024 6:34 pm.
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