Re: [Gretl-devel] VECM restrictions and scaling
Allin Cottrell schrieb:
I've now implemented an algorithm for removing then replacing
scale factors in a set of VECM restrictions. (Thanks, Sven, for
the pointers.) Testing so far shows a big improvement in
performance, and the problems of initialization mentioned in my
document from August seem to be solved.
That's great news! I'm really happy about the speed at which this new
feature takes shape, thanks very much.
I'll set out the algorithm in detail so people can spot any
problems and suggest improvements.
[...]
Well I'd say if it works in a number of test cases, it can't be all that
wrong. I will do some testing with the latest snapshot in the next
couple of days as well. I assume that it must be done via a script and
the syntax is like in the previous examples, right?
Also still w/o restricted exogenous variables? (just checking, not pushing)
We then recompute the relevant blocks of the observed information
matrix using the rescaled beta and alpha, and I think the variance
comes out right.
I will test that as well (i.e. compare results with PcGive). Is the
variance denominator T-c now or do I have to take into account that
difference?
cheers,
sven