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estimtor
2011 Jun 01
0
Simulating SVAR Data
...sults are not what I
expected. I think the problem is the way that I'm generating the data, but
I don't understand what I could be doing wrong. Any guidance would be
greatly appreciated.
Problems:
In the code below, the array "means" should show that SVAR parameters are
unbiased estiamtors, so the second column of "means" should be near 0, and
it's not any closer than the first column (the arima results). So my
results are no less biased than the arima results.
The first pair of plots should show the same: SVAR results are unbiased.
But they don't cluster around t...