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Re: Vector autoregressions in Stata

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Thank you for the the useful information and your very clear explanation.

You mention that the matrix A (the Cholesky demposition of Σ) can be accessed directly in the var postestimation results. I could not find the command for this. Do you know what it is?

Also, are the orthogonalized shocks (u_t=inv(A)*epsilon_t) stored in the postestimation results as well?


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