Question: A researcher is interested in estimating a Structural var. Consider the invertible reduced-form VAR with 3 variables: (I - Phi L)Y_t = u_t, u_t sim
A researcher is interested in estimating a Structural var. Consider the invertible reduced-form VAR with 3 variables: (I - \Phi L)Y_t = u_t, u_t \sim iid N(0, \Sigma) where \Sigma has non-zero diagonal entries. Assume, that there are 3 structural shocks \epsilon_t = (\epsilon_{1t}, \epsilon_{2t}, \epsilon_{3t})' that drive the system, with \epsilon_t \sim iid N(0,I). Let the SVAR be (A_0 - A_1L)Y_t = \epsilon_t. What are the restrictions that you need to impose on the elements of \Phi and \Sigma to ensure that the Var is stationary
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