[Gretl-devel] Re: $xtxinv available after restricted VECM or not?
Am 18.11.2020 um 14:34 schrieb Sven Schreiber:
Am 17.09.2020 um 19:11 schrieb Sven Schreiber:
> the function reference says that after restricting the alphas in a VECM
> you don't get $xtxinv, and I can see the reason why (I think).
>
> However, this seems to work:
> ...
>
> eval $xtxinv
>
Ping - I don't think this has been clarified.
OK I checked this more concretely, and it seems $xtxinv in this
restricted alpha case indeed still refers to the _common_ regressors,
then excluding the EC term. That means the dimension of $xtxinv in the
unrestricted case is bigger than in the restricted case.
I think something needs fixing here, at least the documentation. But the
"easiest" thing would be to follow the documentation and throw an error
when this accessor is requested after a restricted VECM. Other opinions?
thanks
sven