Re: [Gretl-users] difference between SVAR and VAR IRFs
On Sat, 9 Jun 2012, Muheed Jamaldeen wrote:
Hello!
Also, the Cholesky is just one way of retrieving the structural shocks by
overcoming the identification problem. results from the cholesky
decomposition (which is basically a lower triangular matrix of the
variables) varies with the ordering of the variables. So an SVAR can use
either a cholesky or some other form of (usually based on theory)
restrictions preventing contemporaneous impacts of other variables.
Hope that helps?
Here's a non-technical paper that might help:
http://www.econstor.eu/dspace/bitstream/10419/17887/1/kap1072.pdf
Cheers mate.
You may also want to take a look at the pdf file documenting gretl's
implementation of SVAR: go to the "Model" menu, choose "Time Series"
and
then "Structural VAR". Click on the "Help" button and the pdf file
should
open. It's mainly oriented to help the user set up his model in gretl, but
it also contains a few theory bits and some literature pointers you may
find useful.
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Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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