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. -------------------------------------------------- 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 --------------------------------------------------
