[Gretl-devel] Re: Simulate simultaneous equation model
Am 12.09.2020 um 23:59 schrieb Adam Elderfield:
Hi Sven,
The BIMETS package is really great. That might be a good starting point.
Although, and maybe I am wrong here, I would consider the parsing of the
model text one of the main programming challenge, I'm not sure that
would be any easier porting between two languages? Or would you write
your model file in BIMETS syntax, have your regression etc in Gretl,
which then are passed to the text file, and this data and text are then
passed to R?
I wasn't familiar with the bimets package until you mentioned it; now
I've quickly browsed its vignette.
I agree that doing the estimation in gretl makes sense, since that is
what we already have, and possibly even with more options than what's
present in bimets.
The trick would then be to "inject" the estimation results into bimets,
such that the coefficients and so on are already given and no redundant
estimation has to be done there. (Of course if it's just the OLS option
then any redundancy would be small, but more general estimation
approaches are reasonable and needed.) The point would then be to take
advantage of the simulation features of bimets, which is what we don't
have in gretl.
Perhaps the author Andrea Luciani would be ready to help us by
describing the interface through which bimets would treat the estimation
as done and how to specify the results from that step exactly.
(Vectors/Matrices with certain names and so on.)
The nice thing about bimets is that it doesn't depend on other packages
apparently, so no dependency chain issues would arise.
cheers
sven