Suppose the residuals of a VAR are such that var (e) = 0.75, var (e) =...
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Suppose the residuals of a VAR are such that var (e₁) = 0.75, var (e₂) = 0.5 and cov(e₁,e₂) = 0.25 (a) Show that it is not possible to find the variance matrix of structural VAR shocks from the info given above about the reduced form residual, without assuming b₁2 = 0. (b) Using Choleski decomposition, find the identified values of b21, var (₁) and var (ε₂) Suppose the residuals of a VAR are such that var (e₁) = 0.75, var (e₂) = 0.5 and cov(e₁,e₂) = 0.25 (a) Show that it is not possible to find the variance matrix of structural VAR shocks from the info given above about the reduced form residual, without assuming b₁2 = 0. (b) Using Choleski decomposition, find the identified values of b21, var (₁) and var (ε₂)
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aThe variance of structural VAR shocks cannot be found without as... View the full answer
Related Book For
Discrete and Combinatorial Mathematics An Applied Introduction
ISBN: 978-0201726343
5th edition
Authors: Ralph P. Grimaldi
Posted Date:
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