Re: [Gretl-devel] VECMs with holes
Riccardo (Jack) Lucchetti schrieb:
Now, I don't remember a single paper where this is done, and I don't
know (but I doubt it) if the industry standard (PcGive/PcFiml) allows
you to tame such a beast by point-and-click.
I may have said something different before, but now I seem to remember
that it's not possible to estimate a cointegrated VAR (=VECM) with lag
holes in PcGive. What you can do in PcGive is estimate the cointegration
coefficients and then of course build a fairly flexible model around that.
a) plug \beta in the VECM and run FIML/GLS/whatever to handle the
restrictions on the G_i matrices
see above, that would be the PcGive way
b) impose a "gappy" structure on the G_i matrices and don't bother
analysing what the resulting constraints on the A_i matrices look like.
and that would be the Eviews approach
-sven