IRFs for highly correlated shocks
Posted: Mon Aug 03, 2015 5:44 amHi,
I would appreciate if someone could explain (or to point to a study in which it is explained) how to use common factor decomposition for highly correlated shocks if I want to avoid using Cholesky decomposition in DYNARE so that responses are symmetrical. Thanks.
Max
I would appreciate if someone could explain (or to point to a study in which it is explained) how to use common factor decomposition for highly correlated shocks if I want to avoid using Cholesky decomposition in DYNARE so that responses are symmetrical. Thanks.
Max