Re: [Gretl-devel] VECM restrictions once again
On Wed, 5 Sep 2007, Sven Schreiber wrote:
Allin Cottrell schrieb:
Ok, hope you don't miss this belated continuation of the thread.
Before tackling the restrictions, maybe it's worth noting that for the
unrestricted Vecm I get the same point estimates with gretl (snapshot
downloaded today), Eviews (5.1), and PcGive (10.4), but three different
sets of standard errors:
[estimates follow]
This is a consequence of the fact that in gretl the scaling factor for the
covariance matrix is T (sample size), whereas apparently eviews uses (T-p)
(degrees of freedom). Not sure what PcGive does, but it would seem that a
factor of (T-p-1) is used (maybe lags?).
Of course, all choices are asymptotically equivalent, but in this
case the difference is noticeable because the sample size is rather
small; maybe we could change policy in gretl and use (T-p) instead?
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti