[Gretl-devel] Re: why non-square $system.C after var?

On Sat, 21 Nov 2020, Sven Schreiber wrote: > Am 21.11.2020 um 15:26 schrieb Allin Cottrell: >> On Fri, 20 Nov 2020, Sven Schreiber wrote: > >>> >>> It seems to come from VAR_allocate_cholesky_matrix in lib/src/var.c, >>> where we have: >>> >>> n = var->neqns * effective_order(var); >>> var->C = gretl_zero_matrix_new(n, var->neqns); >>> >>> So the number of rows is indeed chosen as dim x lagorder which explains >>> my row number 4 above - but this doesn't make any sense, does it? >> >> That C matrix is described in var.h as "augmented Cholesky-decomposed >> error matrix". I can't say I remember the exact reason for augmenting it >> with zeros, but as things stand it's required for conformability in >> functions such as gretl_VAR_get_fcast_decomp(). I think I understand it now. That C matrix augmented with a bunch of rows of zeros is a device one would use in giving a compact account of the algorithm for IRFs and FEVDs. One can construct it literally in code but that's not efficient -- better to keep C square and just calculate "as if" it had zeros in train. That's what we now do in git.