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Added warnings about the BVAR identification scheme.

time-shift
Stéphane Adjemian (Charybdis) 2016-11-03 17:21:01 +01:00
parent 9900c05560
commit f303378f54
1 changed files with 4 additions and 2 deletions
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6
doc/bvar-a-la-sims.tex
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@ -550,10 +550,12 @@ The syntax for computing impulse response functions is:
The \textit{identification\_scheme} option has two potential values
\begin{itemize}
\item \texttt{'Cholesky'}: uses a lower triangular factorization of the covariance matrix (default)
\item \texttt{'SquareRoot'}: uses the Matrix square root of the covariance matrix
\item \texttt{'Cholesky'}: uses a lower triangular factorization of the covariance matrix (default),
\item \texttt{'SquareRoot'}: uses the Matrix square root of the covariance matrix (\verb+sqrtm+ matlab's routine).
\end{itemize}
Keep in mind that the first factorization of the covariance matrix is sensible to the ordering of the variables (as declared in the mod file with \verb+var+). This is not the case of the second factorization, but its structural interpretation is, at best, unclear (the Matrix square root of a covariance matrix, $\Sigma$, is the unique symmetric matrix $A$ such that $\Sigma = AA$).\newline
The mean, median, variance and confidence intervals for IRFs are saved in \texttt{oo\_.bvar.irf}
\section{Examples}