Dear all,
I'm trying to get the structural parameters of a Choleski-identified
system, from the estimation of the reduced form of the system. In s-plus
"finmetrics" the class Var.object contains the "R" feature, which is "the
triangular factor of the decomposition, which is determined by the
orthogonal decomposition of the model matrix". Does anyone know if this
belongs to the Choleski decomposition, and what exactly "R" is?
Nicola Beghetto
Product and Business Development
Banca IMI - Milan
Nicola Beghetto
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