Re: [Gretl-devel] VECM restrictions and scaling
On Sun, 16 Sep 2007, Sven Schreiber wrote:
thanks very much for the new snapshots with T-c and restricted
exogenous variables. This makes it possible to compare directly
to PcGive's results and thus testing is quite easy.
Good so far!
I've done some testing with a real-world case; it's a 6-dim
Vecm
with a restricted step dummy in the equilibrium (cointegration)
relations.
The unrestricted estimates (cointegration rank r=4) are exactly
identical, including the standard errors. The only difference is
that gretl prints "Determinante der Kovarianzmatrix =
1.614282e-015" (determinant of the covariance matrix), whereas
pcgive reports "-T/2log|Omega| 1873.29374". Now I guess these
numbers are not supposed to mean the same thing, but
nevertheless a result of 1e-15 strikes me as strange...
Gretl is reporting |Omega|, and the reported values are
consistent: -(T/2)*log(1.614282e-15) is close to what pcgive
gives, the difference presumably being attributable to the fact
that |Omega| is given by gretl to only 7 digits.
Next, with some overidentifying restrictions on beta (both
exclusion and more general restrictions, partly also applied to
the restricted exogenous variable, and apart from
normalization), gretl's results are not so good (I also append
pcgive's results for comparison)...
Thanks very much for doing the testing. To make progress it would
be very helpful to have a copy of the data file and script you're
using with gretl. Could you maybe send me that offlist? (Maybe
Jack would be interested too?)
Allin.