Re: [Gretl-users] difference between SVAR and VAR IRFs

Hello, Dr Lucchetti I'm hoping for a leg up on your Cholesky comment please, because I'm a bit confused..... Let's think of the expression X^T * A* X > 0 where A= LL^T ( A is symetric and positive definite) and X is real and non-zero ie all is as commonly known (eg, ' T ' = transpose, etc) The question is how do we find L One way is to use Cholesky's procedure. Now this is merely a mathematical procedure. Obviously if a different matrix A is formed by re-arranging the variables then a different solution lower triangular matrix L will be obtained. My query is simple...what does a mathematical procedure ( Cholesky) know about cultural shocks ? Am I missing something ? RJF Hudson ----- Original Message ----- From: "Riccardo (Jack) Lucchetti" <r.lucchetti(a)univpm.it&gt; To: "Gretl list" <gretl-users(a)lists.wfu.edu&gt; Sent: Saturday, June 09, 2012 6:28 PM Subject: Re: [Gretl-users] difference between SVAR and VAR IRFs On Sat, 9 Jun 2012, Muheed Jamaldeen wrote: You may also want to take a look at the pdf file documenting gretl's implementation of SVAR: go to the "Model" menu, choose "Time Series" and then "Structural VAR". Click on the "Help" button and the pdf file should open. It's mainly oriented to help the user set up his model in gretl, but it also contains a few theory bits and some literature pointers you may find useful. -------------------------------------------------- Riccardo (Jack) Lucchetti Dipartimento di Economia Università Politecnica delle Marche (formerly known as Università di Ancona) r.lucchetti(a)univpm.it http://www2.econ.univpm.it/servizi/hpp/lucchetti -------------------------------------------------- --------------------------------------------------------------------------------