Re: [Gretl-devel] VECM restrictions and scaling

Allin Cottrell schrieb: > I've now implemented an algorithm for removing then replacing > scale factors in a set of VECM restrictions. (Thanks, Sven, for > the pointers.) Testing so far shows a big improvement in > performance, and the problems of initialization mentioned in my > document from August seem to be solved. > That's great news! I'm really happy about the speed at which this new feature takes shape, thanks very much.

> I'll set out the algorithm in detail so people can spot any > problems and suggest improvements. [...] Well I'd say if it works in a number of test cases, it can't be all that wrong. I will do some testing with the latest snapshot in the next couple of days as well. I assume that it must be done via a script and the syntax is like in the previous examples, right? Also still w/o restricted exogenous variables? (just checking, not pushing)

> We then recompute the relevant blocks of the observed information > matrix using the rescaled beta and alpha, and I think the variance > comes out right. I will test that as well (i.e. compare results with PcGive). Is the variance denominator T-c now or do I have to take into account that difference?