Riccardo Jack Lucchetti schrieb:
Sven, I'm cc-ing this to the developer list because I think
it's the best
place for this discussion
I wasn't aware of this list, it's not on the web.
On Wed, August 30, 2006 21:31, Sven Schreiber wrote:
>> the matrices S00 & co. are quite easy to build by combining lists, loop,
>> and matrix functions; all in all, you need moment matrices of residuals. On
> Sure, but dealing with sample lengths, lagged differences, exogenous
variables etc. is not fun and it's already implemented in a nice dialog, so
why not use it?
Well, because IMO it doesn't "feel" like a good idea to have too many
fetchable variables post-estimation. It's a balancing act here: a few things
would be simple to do in a script, but you're likely to use them a lot (think
$uhat), some other things would be more cumbersome (example: $jbeta) so we
might as well make them fetchable once estimation is over for the user's
convenience, even if you're unlikely to use them except in few special
situations. In my mind S00 & co. belong to neither group, but I'm open to be
convinced of the contrary.
Right, I meant as a quick hack just for me to help, not as a real
feature of gretl.
Please try to reproduce the Denmark example you find in
Johansen's book. The
data are available as denmark.gdt among gretl example datasets. JMulTi seems
to do strange things with VECMs. I exported the denmark dataset to JMulTi
format via the new ad-hoc facility: then, I could reproduce the same results
we have in gretl for almost everything (descriptives, VARs, etc.) but VECMs
proved impossible. I understand you know the main developer of JMulTi
personally: it may be a good idea to ask his opinion if/when we're certain
that results are indeed different.
A quick check doesn't show any problems, exactly the same output. I
suspect that you get bitten by different conventions w.r.t. lag
specification, deterministics etc.
But I don't have Johansen's book with me here right now, so what's the
exact specification you're having trouble with?
If you could do the same with MicroFit too, that'd be great.
Sorry I don't have that. I meant only Jmulti and pcgive.