Re: [Gretl-devel] VECM restrictions once again
On Fri, 10 Aug 2007, Sven Schreiber wrote:
> We're getting close. We've implemented both a
limited-memory BFGS
> optimizer and the Boswijk-Doornik switching algorithm. On current
> evidence the latter seems preferable.
So this would prove their claims correct?
To an extent. We're able to come up with some cases where the
switching algorithm gets stuck at a local maximum but this may
have more to do with the initialization than the optimization
method itelf.
> The final "restrict" command produces nice results.
But what has
> gone wrong in the previous case? Clearly the automatic initial
> values computed by gretl were bad. But can anyone test this
> against other software and see if the competition gets it right?
> That would be very helpful.
I would, but I will be traveling the next 2-3 weeks.
OK, hope to hear from you later!
Allin.