[Gretl-users] Re: SVAR/SVEC

> I also humbly suggest that in the future that the VAR/VEC model is > designed to support other forms of IRF & FEVD such as the generalized > version. Last time I checked, the generalized IRFs are only the collection of Cholesky-identified shocks where the recursive ordering is re-shuffled for every shock. So it is already possible to get them, probably also already without the SVAR addon using only the basic built-in tools in native gretl. Just re-run the model N times with the different orderings and save the IRFs for the respective first shock each time (or was it the last, I don't remember). This may sound like a lot, but because each model is recursive, this is really not a problem. It is debatable whether the structural model as a whole is really identified with this approach, and that's part of the reason we don't offer an extra interface for them. (I hope I'm not misrepresenting the opinions or feelings of SVAR's co-author Jack here.)