Re: [Gretl-devel] VARs as system special case ($sysA, $sysB, etc.)
Am 31.10.2015 um 16:10 schrieb Sven Schreiber:
Am 31.10.2015 um 11:19 schrieb Sven Schreiber:
> Am 30.10.2015 um 19:26 schrieb Allin Cottrell:
>>
>> Anyway, what you're suggesting makes sense. It would help if you could
>> come up with some sort of hansl prototype or even reasonably specific
>> pseudo-code. Then I'd be happy to try to make C out of it.
>
> Will do that. I vaguely remember that there is some undocumented bundle
> floating around after estimating models that might contain some of the
> standard accessors. Is this correct, and if so, how is it
> called/accessible from hansl?
Hm, attempting this turns out to be more difficult than expected --
after VAR estimation I don't know how to capture the information about
the deterministic spec like constant, trend, and seasonals, there are no
accessors for that. (And they don't show up in $xlist.)
In the meantime I will pass this info in an ad-hoc way.
Ok, here you go, VAR only so far (no VECM). Not really tested yet, sorry.
There are two functions, working like this:
# transfer the available accessors
bundle bvar = packVaracc($ylist, 3,
$compan,$coeff,$stderr,$sigma,$T,$xtxinv, 0, $xlist)
# (where the integer after $ylist is the deterministic Johansen case;
# 1: no constant, 2/3: constant, 4/5: constant and trend.
# And the penultimate argument is the boolean switch seasonals yes/no.
# add the new accessors
putSysacc(&bvar)
Also with respect to $vcv I remember some discussions about whether or
not to provide a dof-correction, which ultimately led to the
introduction of $xtxinv for VARs instead of $vcv. Nevertheless I have
now calculated simply vcv = sigma ** xtxinv.
thanks,
sven
Attachments:
- SysAccessorsforVAR.inp (application/x-gretlscript — 3.2 KB)