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

Am 22.11.2020 um 16:47 schrieb Allin Cottrell: > 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. OK, so I guess this automatically makes $system.C on the hansl side then also square in the future?