This project is read-only.

A SVAR Problem

Apr 29, 2016 at 9:05 AM
Edited Apr 29, 2016 at 9:06 AM
According to iris_doc, to build a SVAR we can choose any method as follows,

'method=' [ 'chol' | 'householder' | 'qr' | 'svd' ] - Method that will be used to identify
structural VAR and structural shocks.

but i am wondering if there is any paper discussing them, for i don't really no householder, qr and svd. And if I need to have restriction on matrices B, only could the householder method be used? I apply it to a 6 variables-SVAR model and it is really slow sometimes impossible to compute, since I place 30 restriction on it. By the way, 0 restriction is placed as abs(S(i,j,1))<0.01 and none-zeros >0.01. How can i speed is up?

At the same time, the restriction on matrices B such as S(1,2,1) seem to work but it is supposed to be contemporaneous shock by the A-B model thoery of SVAR, not in perioid 1. Am I misunderstanding something?