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Retrieve Structural resids
Posted: Wed May 05, 2010 12:40 pm
by 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.
Re: Retrieve Structural resids
Posted: Wed May 05, 2010 3:09 pm
by 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:
Code: Select all
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
Code: Select all
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
Code: Select all
@structresids(factor=sfactor) resids %regstart() %regend() sresids