[Gretl-devel] Re: [Gretl-users] VECM estimation
Sven, I'm cc-ing this to the developer list because I think it's the best
place for this discussion
On Wed, August 30, 2006 21:31, Sven Schreiber wrote:
> the matrices S00 & co. are quite easy to build by combining
lists, loop, genr
> and matrix functions; all in all, you need moment matrices of residuals. On
Sure, but dealing with sample lengths, lagged differences, exogenous
variables etc.
is not fun and it's already implemented in a nice dialog, so
why not use it?
Well, because IMO it doesn't "feel" like a good idea to have too many
fetchable variables post-estimation. It's a balancing act here: a few things
would be simple to do in a script, but you're likely to use them a lot (think
$uhat), some other things would be more cumbersome (example: $jbeta) so we
might as well make them fetchable once estimation is over for the user's
convenience, even if you're unlikely to use them except in few special
situations. In my mind S00 & co. belong to neither group, but I'm open to be
convinced of the contrary.
> Note that we can already do this via a LR test.
Where is that documented?
Well, it seems it isn't. :-(
But basically, this is what "restrict" does after "vecm"; the
corresponding
GUI element is "Test/Linear restriction" from the VECM output window.
It looks like the manual needs to be beefed up a little. Actually, a chapter
on hypothesis testing wouldn't hurt.
> While I tested this, I realised that I couldn't reproduce Johansen's
results
> with JMulTi; either I'm missing something, or JMulTi's
VECM estimation goes
through a different algorithm from ours. We do VECMs as per
Johansen's
book;
> so does PcGive, and I believe there should be no differences
between our
results and what PcGive yields.
I have all those programs, do you want me to test/confirm something?
Please try to reproduce the Denmark example you find in Johansen's book. The
data are available as denmark.gdt among gretl example datasets. JMulTi seems
to do strange things with VECMs. I exported the denmark dataset to JMulTi
format via the new ad-hoc facility: then, I could reproduce the same results
we have in gretl for almost everything (descriptives, VARs, etc.) but VECMs
proved impossible. I understand you know the main developer of JMulTi
personally: it may be a good idea to ask his opinion if/when we're certain
that results are indeed different.
If you could do the same with MicroFit too, that'd be great.
Riccardo "Jack" Lucchetti
Dipartimento di Economia
Facoltà di Economia "G. Fuà"
Ancona