02-18-2016 12:30 PM
I check the SAS manual and there are three of them: simple, accumulative and orthogonal. Based on my understanding, the cummulative IRF is the cumulant of the simple IRFs. Can SAS output the cumulative Orthogonalized IRFs as well?
Another question is about the computation of the standard errors of the IRFs, my understanding is that SAS use the delta method to do it. It is straightforward for the simple irfs. For the orthogonalized IRFs, how do we calculated the STD for the P matrix, i.e., the cholesky decomposition of the variance of residuals?