[Gretl-devel] Re: Simulating a simultaneous system
On Tue, 6 Oct 2020, Allin Cottrell wrote:
>>
>>> ### compute the reduced form VAR representation
>>>
>>> matrix A = $sysGamma\$sysA
>>> matrix b = $sysGamma\$sysB
>>
>> This is super elegant and concise - is it also correct (combined with
>> varsimul below)? I dimly remember that there was an issue with the
>> ordering of the regressors that might be different from what varsimul
>> expects.
>
> Oh, I wans't aware of that. Care to elaborate?
I think Sven's point concerned (a) lagged terms arranged by variable vs (b)
lagged terms arranged by lag.
I just checked. It seems to be ok: $sysA returns the uppermost block of
the companion matrix, which is what varsimul wants. I'll add the script
(with some brief explanatory text) at the end of doc/tex/system.tex.
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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