lpirfs: get_mat_chol – R documentation

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get_mat_chol

Compute structural shock matrix via Cholesky decomposition

Compute structural shock matrix via Cholesky decomposition with input variables created in lp_lin or lp_nl.

get_mat_chol(y_lin, x_lin, endog_data, specs)

`y_lin`	A matrix with all endogenous variables.
`x_lin`	A matrix with lagged endogenous variables.
`endog_data`	A data.frame with all endogenous variables.
`specs`	A list with specifications from lp_lin or lp_nl.

Shock matrix (d)

Philipp Adämmer

Local Projections Impulse Response Functions

v0.2.0

GPL (>= 2)

Authors

Philipp Adämmer [aut, cre] (<https://orcid.org/0000-0003-3770-0097>), James P. LeSage [ctb], Mehmet Balcilar [ctb], Jon Danielsson [ctb]

Initial release