[R-SIG-Finance] Cholesky Decomposition in Impulse Response Functions

Johannes Lips johannes.lips at gmail.com
Wed Sep 2 10:37:39 CEST 2015

Dear list,

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.

Thanks a lot,

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