Re: [Gretl-devel] coint2 with exogenous variables
On Sun, 13 Nov 2011, Andreas Noack Jensen wrote:
Thank you for explaining your view on this [referring to Sven]
I've put my view on unrestricted deterministic terms briefly. I have
a working paper that's somewhat relevant. Tomorrow I'll dig that out
and post a link.
As [Sven] said the small sample problems are there and we should
try to handle them as well as possible. The Bartlett corrections
would definitely be good to have in Gretl but they are a bit messy
to program, I think, but I would be happy to test them against the
results in CATS if they were programmed by someone.
Some months ago Prof Johansen was good enough to send me his RATS
code for the Bartlett correction, and I translated it to gretl in a
function package. Since there seems to be interest I'll dust that
off and make it available.
A more feasible approach is the bootstrap (but I guess Bartlett
corrections could be combined with the bootstrap also). I have
done a very preliminary first attempt on the writing the
bootstrapped trace test and would be happy to hear your comments.
It was also a great opportunity to try out the excellent package
facility so please have a look at the coint2boot package. It
builds on Cavaliere, Rahbek and Taylor, forthcoming in
Econometrica. The algorithm is only valid for the Cases 1, 2 and 4
so here, at least, I get it as I want it.:-)
Wow! I'll definitely take a look at that.
A final question to Allin and a general Gretl question. It would
make my function more useful if there existed a --quiet flag on
the vecm and var commands. Is it possible to add?
Sorry, that's a documentation issue (which we should fix before the
next release). In fact, both the "var" and "vecm" commands accept
the options --quiet and --silent. The --quiet option suppresses
printing of the individual equations but allows printing of the
system-level information, and the --silent option does what you'd
expect.
I need to save some matrices as series to use them in vecm and
var. Is there a way to save a Txp dimensional matrix as p series.
My way of doing it right now is not elegant.
I'll have to take a look at what you have done. But there's no
built-in way to "batch process" a matrix into p series, at present
you'd have to use a loop. Something like (untested):
<hansl>
string sname = "Mcol"
loop i=1..cols(M)
series @sname_$i = M[,i]
endloop
</hansl>
Allin