Re: [Gretl-devel] Gretl VAR Improvements
On Thu, 25 Mar 2010, Henrique Andrade wrote:
Dear Gretl Team,
I would like to suggest some improvements (I think ;-)) to the VAR model window. My aim
goal is to make VAR model
window more close to OLS model window in terms of "easiness of use".
Additionally, it would be a good change for
Gretl 2.0. Some of the suggestions have been inspired by EViews.
(1) Impulse-response: I think it could be useful if we had more options regarding to the
impulses. EViews has the
option "impulse definition" where we can choose the decomposition method
(Residual - one unit; residual - one
std. deviation; Cholesky - dof adjusted; Cholesky - no dof adjustment; generalized
impulses; structural
decomposition; and user specified.
The most interesting item in this list (to me) is the structural
decomposition, which is what my SVAR package does. For the moment, its
development is on hold, but a few people have tested it (I asked for help
with the testing in a message on the user list about 4 weeks ago:
http://lists.wfu.edu/pipermail/gretl-users/2010-March/004483.html) and the
basic cases seem to work ok. As for the other requests:
Cholesky: dof/no-dof. Do you reaaly think this would be of any use?
Generalised impulses: there was a thread about those about a month ago:
http://lists.wfu.edu/pipermail/gretl-users/2010-February/004456.html
User specified: what are they????
(2) Impulse-response and variance decomposition: It would be great if
we had the option "Cholesky ordering" (I
know we can choose this before the estimation, but I think this is not so good).
This wouldn't be difficult to do. Basically, all that would be needed
would be to interchange rows and columns of Sigma (the VAR residuals vcv
matrix) as desired, compute the Cholesky decomposition of that (call it
C), and then put the rows and columns of C back in the original order.
After that, compute IRFs and FEVDs on the basis of the reordered C.
Doable, but (given the complication in the user interface) is it worth it?
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti