Re: [Gretl-devel] user-defined functions and smpl
On Thu, 20 Jan 2011, Summers, Peter wrote:
One case that I can think of where your proposal would make
sense is in the handling of lags. In your example, if I set the
sample range to 90:1-05:4 and then call a function that
estimates a VAR(4), I think I'd want the function to be able to
access the 89:1-89:4 observations, rather than estimating from
91:1.
In fact it can already do so: "reach-back" to pre-sample values is
allowed in general when estimating autoregressive models.
But here's a case where the proposal could make a difference:
inside the function you want to define some new variables and
include them in a VAR. The new variables would be defined only
over the current sample range, so (accounting for lags) the start
of VAR estimation would be pushed forwards. But you could avoid
this, in the function, if you were allowed to push the sample
start back for generating the new variables, then reset it for
estimation.
Allin.