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

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(). Just making C square would definitely break things, though there may be a smarter approach that doesn't need the augmentation. (At a quick peek, this might require replacement of a straight matrix addition with addition of a small matrix to a region of a larger one.) Even if we decide using the augmented C is more efficient for internal usage, we could trim it when writing to the $system bundle.