Re: . Re: [Gretl-devel] VECM restrictions once again
On Thu, 6 Sep 2007, Sven Schreiber wrote:
Browsing the PcGive documentation, I also saw that they do not
impose
the normalization restrictions in the maximization stage. They actually
remove them before estimation, then estimate, and in the end reimpose
the normalization, saying that it's more robust.
Ah, that's interesting. I was thinking myself that might be
a sensible thing to do. I'll have to think about how the details
would go.
Allin.