Re: [Gretl-devel] Exo vars ordering in system (bug and feature request)
On Thu, 7 Mar 2013, Sven Schreiber wrote:
Consider the following system where for illustration only a subset
of
all exogenous variables (here: seasonal dummies) are used in each equation:
<hansl>
open denmark
genr dummy
system method=ols
equation LRY dq2 const
equation LRM dq1 const
end system
matrix B = $sysB
print B
</hansl>
From what gretl gives me, the ordering in $sysB is <dq2, const, dq1>,
just like the order in which they appear in the system spec. Ok; now
there are two problems with that:
First what I think is a bug -- in the estimation printout 'const' always
comes first, and it has been said before that the ordering in the
coefficient accessors should be like in the printout. And BTW, which
ordering is the one used by $xtxinv?
The $coeff accessor uses the same ordering as in the
per-equation printout, However, I think you're right: the
$sysB ordering should also have the constant first (if
present). That is now in CVS. $xtxinv is not available for the
system command, but the ordering in $vcv already agrees with
the printout order.
Secondly I have a more subtle problem: In my application I do not
specify the equations manually but as a result of some model reduction
procedure. Thus I do not know in advance which exogenous variables
"survive" in which of the equations [...]
OK, as you suggest infra I've made $xlist active for systems
(also VARs). For systems it will give the same ordering as
$sysB. I still have to update the doc on this.
Allin