Thanks Matthieu. Yes, there were some ordering issues in my VEC model and I
had wanted to estimate a girf so as to avoid using choleski decomposition.

While I see a reason why girfs may not be so popular (as more often in
economics *a priori* reasoning should allow for a reasoned out ordering of
the matrix), when something is completely data driven, *a priori* reasoning
might completely fail in giving a good fit. Hence the attempt at girfs.

Thanks again for the clarification.

Regards,
Vimal

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2009/11/4 Matthieu Stigler <matthieu.stigler@gmail.com>

> Hi Vimal
>
> Do you refer to generalized impulse response functions such as in Koop
> et al (1996) and Pesaran and Shin (1998) where focus is on
> investigating the distribution of any shock at n, taking into account
> further  shocks at n+1, n+2...?
>
> If yes, this is not to my knowledge available in R. Package vars does
> not provide it at least, options ortho just asks whether a Choleski
> decomposition (with ordering as in the input matrix) should be done,
> and cumulative whether effects of shocks should be added.
>
> Note btw that even if very interesting, it seems that GIRF did not
> have big sucess. I personally saw only a few paper using it, and I'm
> not aware of any textbook presenting it, while they all discuss in
> details usual IRF.
>
> Best
>
> Matthieu
>
>
>
> 2009/11/4 Vimal B <vimsaa@gmail.com>:
> > Hi,
> >
> > I was wondering whether the package(vars) can estimate generalized
> impulse
> > response functions for VARs / VECMs.
> >
> > The general option on package(vars) available is:-
> >
> > suppose I want to give a shock to 'a' and observe the response of 'b',
> then
> >
> > irf(x, impulse=a, response=b, n.ahead=10,
> > boot=TRUE,ci=0.95,runs=100,seed=NULL...)
> >
> > The vignettes and manuals says that the default is 'ortho=TRUE' (and the
> > other option is cumulative=NULL).
> >
> > Or is there any other package one would suggest?
> >
> > Thanks,
> >
> > Regards,
> > Vimal
> >
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> >
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