[Gretl-devel] VECMs with holes

In response to Sven's request not so long ago I enabled specification of particular lags of the y variables in VARs (e.g. you could have a VAR with lags 1 and 3, skipping 2). I said I'd follow up by allowing that sort of thing for VECMs too, but unless I'm getting mixed up (quite possible) this seems substantially more difficult. Consider the gappy VAR (deterministic terms and error omitted for simplicity): y_t = A_1 y_{t-1} + A_3 y_{t-3} The VECM representation is, I think, \delta y_t = \Pi y_{t-1} + G_1 \delta y_{t-1} + G_2 \delta y_{t-2} where \Pi = A_1 + A_3 - I G_1 = -A_3 G_2 = -A_3 That, not only have we "dropped a lag" (as per usual), but now there's an implied restriction on the G_i matrices. First question: have I gone off the rails here? Second Q: if not, how would we handle this and would it be worth the trouble? Allin.