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FEVD and sign restrictions

Topics: VAR, SVAR, FAVAR
Feb 26 at 9:43 PM
I have a question regarding FEVD in sign-restricted SVAR. I identified only two shocks and then computed FEVD for 5 periods for closest-to-median draw, but it gave me a series of 4x4x5 matrices, like in the Cholesky SVAR.

How can I calculate FEVD for structural shocks identified by sign restrictions ?