Dear all, I would like to know if there is a way to get the residuals from a SVAR model. In particular, I would like to save (as a time series) the structural residuals from just one equation, since I am interested in only one structural shock, in order to make some tests on the "innovations". But I only know how to estimate the reduced form VAR and then compute IRFs and FEVDs.
Thank you for your time and attention, Gabriela
Dear all,
I would like to know if there is a way to get the residuals from a SVAR model.
In particular, I would like to save (as a time series) the structural residuals from
just one equation, since I am interested in only one structural shock, in order to
make some tests on the "innovations". But I only know how to estimate the reduced
form VAR and then compute IRFs and FEVDs.
Thank you for your time and attention,
Gabriela
