[Gretl-devel] Re: Simulate simultaneous equation model

Am 14.09.2020 um 10:37 schrieb Riccardo (Jack) Lucchetti: Notice this is log-linear... First, Jack, sorry, but as a general statement I actually think this is wrong. Gretl can estimate these structural equations already, with TSLS equation-per-equation. Of course that's not the efficient estimator here, and I guess that's what you had in mind. But still it can be done, since both equations are linear by themselves. Second, a quote from the bimets vignette: "Thebimets ESTIMATE() function estimates equations that are *linear* in the coefficients". This is of course not the same as linear in the variables, but still it shows that bimets's scope is somewhat limited, too. Actually, the vignette does not even contain the word "non[-]linear". Another quote: "RESTRICT>is a keyword that can be used to specify *linear* coefficient restrictions". I'd even say you can go a long way with linear behavioral systems in the sense that some variables only appear in logs (including log-differences as growth rates) and others only in raw levels (including absolute differences, e.g. for interest rates). This would be less general than your example above where x and y appear both in levels as well as in logs. Then you could estimate it in gretl as a system directly -- OK you can't do FIML because the non-linear identities linking the logs and the levels are not allowed. But that's not too bad IMHO. Cointegration apparently isn't mentioned in the bimets doc, but if you want to deal with it explicitly I think it's pragmatically OK to pre-estimate them somehow (or pre-specify without estimating, since many equilibrium relationships from theory do not really involve any parameters to be estimated). Then you just plug the EC terms into your otherwise stationary partly differenced system, like PcGive/PcFiml did for decades. ... Yes that would be great. cheers sven