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)
On Sat, 9 Jun 2012, Muheed Jamaldeen wrote:
> 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 or
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 cho
