Re: [Gretl-devel] Special restriction syntax in VECM doesn't work anymore
Am 09.02.2016 um 19:26 schrieb Sven Schreiber:
Am 09.02.2016 um 18:47 schrieb Allin Cottrell:
>>> 1. Is cols(R) equal to the total number of elements of
beta and alpha
>>> ("gmax"), in the system? In this case the answer is No, since
cols(R) =
>>> 20 and gmax = 40.
>>> 2. If No, is cols(R) equal to the number of beta rows
(here, 5)? No
>>> again, so fail.
Well, I'm simply looking at equ. (27.5), where cols(R) must be
equal to
the rows of vec(beta), full stop. And except for the special case r==1
(and leaving aside the possibility of an extended beta^* with restricted
deterministic and exogenous terms) this cannot be equal to n (rows of
beta).
> I'll have to think about this some more, but I believe
it's check number
> 1 (or gateway #1) that should be removed.
As I have explained above, at the moment I would think the only
meaningful check is cols(R)==rows(vec(beta)), but I may be missing
something.
Whatever happened to this? In one message you said that you would insert
in git this last check. (Not covering the case of restricted exogenous
terms for the moment.) I'm assuming that's done.
To sum up, my suggestion would then be:
1. Remove the check No. 1 above, because as per the spec restrictions on
alpha are not covered here.
2. Remove the check No. 2, too, because for simplicity I think the spec
for this special restriction interface should not provide extra ways for
common restrictions on all CI relations. (If such a common restriction
is wanted, I'd say it has to be spelt out explicitly in this framework.)
3. Document in the guide that this restriction interface so far does not
allow restricting coefficients of exogenous terms. Introduce a note in
the source (and possibly in the issue tracker) that this feature should
be added.
Or do you want to tackle the last thing right now?
Thanks,
sven