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You are right. Ordering a variable first reflects the identifying assumption that this variable will not respond contemporeneously to the other shocks in the system. You could obtain the exact same shock series via an OLS regression that includes as explanatory variables only the lags of all the variables in the VAR. Since you were happy to "assume away&...


1

The terms "ordered last" or "ordered first" do not necessarily relate to the place of the variable in the $y_t$ vector. Rather they describe the column (row) vector of the contemporaneous impact matrix pertaining to the variable. Once the restrictions have been set and the model is identified, where you exactly place the variables is an ...


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