Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

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

image text in transcribed

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)

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Financial Markets And Institutions

Authors: Anthony Saunders, Marcia Millon Cornett

1st International Edition

0071181334, 9780071181334

More Books

Students also viewed these Finance questions

Question

Where you will access company files in QuickBooks Online

Answered: 1 week ago