Thread Subject: Bernanke (1986)/Sims (1986) orthogonalization

Dear All,

I want to orthogonalize the residuals series of a vector autoregressive model with the Bernanke (1986) or Sims(1986) orthogonalization method. Is there any ready made code for this orthogonalization?

Best,

Chris

"Chris" <AzizC0rn@bluestring.com> wrote in message <gn992t$7ht$1@fred.mathworks.com>...
> Dear All,
>
> I want to orthogonalize the residuals series of a vector autoregressive model with the Bernanke (1986) or Sims(1986) orthogonalization method. Is there any ready made code for this orthogonalization?
>
> Best,
>
> Chris

Chris,
Any package with Impulse-Response function will build the orthogonalization into the implementation. You may want to check the "vare" and "irf" function in The Econometrics Toolbox by James LeSage (just google) or Structural VAR software at the following website.
http://www.texlips.net/svar/

I don't have too much experience in using these two packages since I typically coded IRF myself when I need it. But they may be helpful to you.
Jinhui