[Gretl-devel] Re: wrong $system.order after "vecm" ?

Am 24.02.2022 um 16:57 schrieb Sven Schreiber: OK, so in lib/src/var.c in the johansen_wrapper function we have the root cause:    jvar = gretl_VAR_new(code, order - 1, rank, lags, list, dset, ... However, that difference-order convention for VECMs is used in so many subsequent and other places that we cannot simply change that there. Note that this leads to funny re-incrementing hoops like the call to johansen_wrapper inside real_gretl_restricted_vecm where the lag order is specified as orig->order + 1. At the same time, in lots of places in the code there are constructs like calling effective_order or "int k = var->order + (var->ci == VECM);" to map the whole thing back to the levels convention. What's more, in build_VAR_from_bundle the var->order is taken as-is from the bundle, irrespective of whether it's a VECM or a VAR. So, basically it seems that gretl uses the difference-order convention for a VECM _internally_, but _externally_ we have the levels-order convention. The problem is that "$system.order" exists both in the internal and external spheres: internal because of how hansl's irf() and fevd() functions are currently set up, and external for users like me who want to work with the $system output. How can we solve that? Not entirely sure, but perhaps we could change the backends of irf() and fevd(), namely gretl_FEVD_from_bundle and gretl_IRF_from_bundle to differentiate between a VAR and a VECM appropriately, and then we could make $system.order adhere to the external levels-order convention. (You couldn't transfer the produced $system bundles across gretl versions, but that's not a showstopper IMHO, because who does that anyway.) What do you think? thanks sven