Stochastic simulation would be a nice option. However, I don’t think it is currently available in BIMETS, I spoke with Andrea Luciani a while ago who told me that it was on the to
do list. Andrea actually referred to it as

- “Perturbation analysis”: e.g. add noise (normal, uniform, etc ) to selected exogenous and return average, stddev, etc… of simulated endogenous

However, I took that as meaning stochastic simulation. This was a few months ago, so this could very well be underway now.

**From:** Sven Schreiber <svetosch@gmx.net>

**Sent:** Monday, 14 September 2020, 8:26 pm

**To:** gretl-devel@gretlml.univpm.it

**Subject:** [Gretl-devel] Re: Simulate simultaneous equation model

Am 14.09.2020 um 09:30 schrieb Adam Elderfield:

> Yes, that is how I think I would attack it. I think a simple solution would be to create a function that takes estimated parameters and writes them to a text file which BIMETS will read as an identity.

I don't think it would be correct to label these equations as

identities. (If I'm not misunderstanding what you meant.) The simulation

will often be stochastic and thus an error term plus estimated variance

would be needed. I don't think that's a problem per se, but so far I

don't know how to tell bimets the estimation results including those

variances and so on, or more fundamentally if there's some kind of

interface in bimets for this "injection" of already estimated but

non-identity equations.

> One challenge would be translating what is an acceptable way to express an equation in GRETL into something that can be read in BIMETS for example:

>

> "ln (Y/Y(-1)) = coef(1)*(ln(Y(-1))-coef(2)*ln(X(-1)))+coef(3)*ln (Y(-1)/ Y(-2)) + coef(4)*ln(X/X(-1))"

>

> While BIMETS it would be something like:

>

> "TSDELTALOG(Y) = coef(1)*(TSLAG(LOG(Y),1)-coef(2)*TSLAG(LOG(X),1))+coef(3)*TSDELTALOG(Y,1) + coef(4)*TSDELTALOG (X)"

>

> So I think a small task would be to parse a GRETL acceptable language (I'm not sure if my equation above is an acceptable format for GRETL, but I hope illustrates the point?) into something readable by BIMETS, i.e. replace the (-1) with TSLAG etc and hard
code the coefficient estimates from various estimation outputs in the GRETL environment to the text file.

All very adequate thoughts, but I will reply to Jack's answer first, as

it is more fundamental...

cheers

sven

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