Suppose the residuals of a VAR are such that var (e) 0 75, var (e) 0 5 and cov(e,e) 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 b2 0 (b) Using Choleski decomposition, find the...

aThe variance of structural VAR shocks cannot be found without as ...

Suppose the residuals of a VAR are such that var (e) = 0.75, var (e) =...

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Discrete and Combinatorial Mathematics An Applied Introduction

ISBN: 978-0201726343

5th edition

Authors: Ralph P. Grimaldi

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Suppose the residuals of a VAR are such that var (e) = 0.75, var (e) =...

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Discrete and Combinatorial Mathematics An Applied Introduction

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