On 02.09.2015 11:44, Brian G. Peterson wrote:
On 09/02/2015 03:37 AM, Johannes Lips wrote:
I am wondering if there's a way to tell the irf() command, in which
order the cholesky decompostion should have. In other words how can I
tell the irf command in which way the simultaneous effects should be
modeled? Is it somehow based on the order of the variables in the
var.est object?
It would be great, if someone could shed some light on this, because I
also couldn't find anything on the internet.
You didn't mention that you were speaking of the irf function from
package vars, but I'll proceed on that assumption.
It seems that you can answer your own question by looking at the source.
vars::irf dispatches to one of:
vars:::irf.svarest
vars:::irf.svecest
vars:::irf.varest
vars:::irf.vec2var
all of these, in turn, call
vars:::.irf
and/or an appropriate
vars:::.bootirf[*]
and/or an appropriate
vars:::Phi.*
function.
from examination of the Phi functions, it appears that the recursive
portion you're looking for is there, and does the matrix math over the
inverse of the A matrix.
Thanks Brian,
yeah, sorry for not being more specific. I was talking about the irf()
from the vars package, which is also used by tsDyn as far as I can tell.
I will have a look into all these functions and will try to figure it
out. I thought it might be documented somewhere, because it's fairly
common in most other econometrics packages. (This is not meant as a rant!)
But I don't know how we could improve the documentation of all these
packages and functions.
Regards,
Johannes
However, the ordering of variables seems to be a simple lapply over
coef. in the coef methods.
So, not quite an answer, but hopefully I've pointed you towards where
your answer lies.
Regards,
Brian
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