Re: [Gretl-devel] Gretl VAR Improvements
On Mon, 29 Mar 2010, Riccardo (Jack) Lucchetti wrote:
On Thu, 25 Mar 2010, Henrique Andrade wrote:
> (2) Impulse-response and variance decomposition: It would be
> great if we had the option "Cholesky ordering" (I know we can
> choose this before the estimation, but I think this is not so
> good).
This wouldn't be difficult to do. Basically, all that would be
needed would be to interchange rows and columns of Sigma (the
VAR residuals vcv matrix) as desired, compute the Cholesky
decomposition of that (call it C), and then put the rows and
columns of C back in the original order. After that, compute
IRFs and FEVDs on the basis of the reordered C. Doable, but
(given the complication in the user interface) is it worth it?
IMO offering on-the-fly reordering is quite a nice convenience to
the user. This is now in CVS, but it needs testing. It will go
into the snapshots shortly.
Allin