Hi,
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
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IRFs for highly correlated shocks
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IRFs for highly correlated shocks
by mchaban » Mon Aug 03, 2015 5:44 am
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