Re: [Gretl-devel] [Gretl-users] multivariate lrvar?
On Sat, 14 Apr 2018, Riccardo (Jack) Lucchetti wrote:
The following implementation looks reasonably efficient to me.
[...]
And, by the way, lends itself quite nicely to also implementing VAR
prewhitening à la Andrews:
<hansl>
function matrix andrews (matrix X, bool demeaned[0],
int lagtrunc[0::4])
scalar N = cols(X)
scalar T = rows(X)
if !demeaned
matrix X = cdemean(X)
endif
matrix E
Pi = mols(X[2:,], X[1:T-1,], &E)'
matrix ret = longrunvar(E, 1, lagtrunc)
ret = qform(inv(I(N) - Pi),ret)
return ret
end function
</hansl>
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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