[Gretl-devel] Re: $jvbeta with restrictions
On Sat, Jan 27, 2024 at 6:44 PM Sven Schreiber
<sven.schreiber(a)fu-berlin.de> wrote:
this is about VECM details at the scripting level. Consider the example
at the bottom of this message. Typically $jvbeta (or equivalently
$system.vecm_info.Bvar) has as many rows/cols as the number of free
long-run parameters. However, this seems to change when additional
(over-identifying) restrictions are imposed. Is this a bug or a feature?
Does the help text for $jvbeta help resolve this? "In the case of
unrestricted estimation, this matrix has a number of rows equal to the
unrestricted elements of the cointegration space after the Phillips
normalization. If, however, a restricted system is estimated via the
restrict command with the --full option, a singular matrix with (n+m)r
rows will be returned (n being the number of endogenous variables, m
the number of exogenous variables that are restricted to the
cointegration space, and r the cointegration rank)."
Allin