Fratzscher, Marcel; Juvenal, Luciana; Sarno, Lucio - Federal Reserve Bank of St. Louis - 2008
imposing enough restrictions to decompose
ut and obtain economically meaningful structural innovations. Let et be an n 1 vector … of structural
innovations, assumed to be independent, so that E[ete0t] = In. We need to �nd a matrix A such
that Aet = ut …