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Consider the (invertible) reduced-form VAR with $k$ variables: A(L)Y_t = u_t where A(L) is a lag polynomial and E_{u_t u_t'} = sigma, where sigma has
Consider the (invertible) reduced-form VAR with $k$ variables: A(L)Y_t = u_t where A(L) is a lag polynomial and E_{u_t u_t'} = \sigma, where \sigma has non-zero diagonal entries. Assume, that there are k structural shocks that drive the system. Assume that the researcher has knowledge of short-run restrictions in order to identify the structural shock, s_{t,j} of the system. Show that in order to identify s_{t,j} and in order to compute the IRFs with respect to that shock, the researcher doesn't have to identify the other structural shocks
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