Re: [Gretl-devel] missing deterministics in $system.xlist
On Sat, 16 Feb 2019, Sven Schreiber wrote:
Am 15.02.2019 um 23:21 schrieb Allin Cottrell:
> On Sat, 9 Feb 2019, Sven Schreiber wrote:
>> It would be useful if the exact specification of the VAR could be read
>> off the $system accessor. Right now I only see the workaround to look
>> at the first column of the matrix $system.X.
>
> OK, I see what you mean. I've now added to the $system accessor for VARs
> and VECMs a 3-vector named "detflags" (deterministics flags). The first
> element is 1 if the specification contains a constant, 0 otherwise; the
> second is 1 if the --trend option is given, 0 otherwise; and the third
> is 1 if the --seasonals option is given, 0 otherwise.
>
Thanks, Allin. I have to check (when the my version /snapshot is
updated) what happens in the VECM case. I don't remember exactly where
the list of restricted terms shows up in $system. (Or in $model?)
For a VECM $system bundle b, the following info is available:
b.detflags (includes unrestricted terms only)
b.xlist (unrestricted exogenous vars other than deterministics)
b.rlist (restricted exog. vars other than deterministics)
b.vecm_info.code
xlist and rlist are present only if applicable. The "code" value is
the Johansen case, numbered from 0 to 4: it should probably be
called "jcase" and maybe should be 1-based?
Allin