Basse, Tobias; Reddemann, Sebastian - In: International Journal of Computational Economics and … 1 (2010) 3/4, pp. 278-293
Orthogonalised impulses are the standard way to isolate shocks to variables in a vector error correction model. While using the Cholesky decomposition to adjust interdependencies of the shocks, the ordering of the variables on the stage of estimation has a great impact on the resulting impulse...