Hello!

Also, the Cholesky is just one way of retrieving the structural shocks by overcoming the identification problem. results from the cholesky decomposition (which is basically a lower triangular matrix of the variables) varies with the ordering of the variables. So an SVAR can use either a cholesky or some other form of (usually based on theory) restrictions preventing contemporaneous impacts of other variables.

Hope that helps?

Here's a non-technical paper that might help:
http://www.econstor.eu/dspace/bitstream/10419/17887/1/kap1072.pdf 

Cheers mate.

On Sat, Jun 9, 2012 at 2:45 AM, Summers, Peter <psummers@highpoint.edu> wrote:
Mirko,

Since you're interested in the effects of the structural shocks on your variables of interest, you should examine the structural impulse responses (ie, from SVAR). The IRFs from the 'standard VAR' are the effects of shocks that in general will be linear combinations of the structural shocks you're interested in, so they won't tell you what you want to know.

Does that help?
PS

-----Original Message-----
From: gretl-users-bounces@lists.wfu.edu [mailto:gretl-users-bounces@lists.wfu.edu] On Behalf Of mastro2387@tiscali.it
Sent: Friday, June 08, 2012 9:50 AM
To: gretl-users@lists.wfu.edu
Subject: [Gretl-users] difference between SVAR and VAR IRFs


Dear All,
I have a question, which probably you will find stupid..
I
have to study the structural shocks to output for changes in government spending and taxes in the Normandy Invasion of WWII (period identified by dummy variable) and computing the consequent multipliers.
For
multipliers it is not a problem since they are linked with the VAR coefficients but for IRF...which ones do I have to check?
Better
saying,..the option for IRFs in the standard Vector Autoregression is anyway based on the Cholesky decomposition but IRF obtained in the SVAR are different: so which one do I have to choose and why?

Thanks for
attention and help!!

Mirko


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