I'm studying the Autoregressive Vectors (VAR) method. The pet part I understand, but there is one question that intrigues me. Is there a differentiation between VAR and Structural Var? Is not the same thing? Why is this division?
Once estimated the coefficients I "recover" the true betas of the "true" VAR that would be the Structural? Is that it?
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), row.names = 4:355, class = "data.frame", na.action = structure(c(1L,
2L, 3L, 356L, 357L, 358L), .Names = c("1", "2", "3", "356", "357",
"358"), class = "omit"))
Now roll the VAR:
p1ct.y<- VAR(data, p = 1, type = "both")
plot(irf(p1ct.y, impulse = "x", ci = 0.95, n.ahead = 30, response = c("y"), boot = FALSE))
My second doubt is if this result of the impulse response function already considers the decomposition of Cholesky? Otherwise, how do I have an impulse response function that takes into account cholesky decomposition?