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Suppose the residuals of a VAR are such that var(e1-0.75, var( 0.5 and cor(e1, e2) = 0.25 (a) Show that it is not possible to
Suppose the residuals of a VAR are such that var(e1-0.75, var( 0.5 and cor(e1, e2) = 0.25 (a) Show that it is not possible to find the variance matrix of structural VAR shocks from the info given above about the reduced form residual, without assuming b12- 0. (b) Using Choleski decomposition, find the identified values of bar var(a) and var(9) Suppose the residuals of a VAR are such that var(e1-0.75, var( 0.5 and cor(e1, e2) = 0.25 (a) Show that it is not possible to find the variance matrix of structural VAR shocks from the info given above about the reduced form residual, without assuming b12- 0. (b) Using Choleski decomposition, find the identified values of bar var(a) and var(9)
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