Re: [Gretl-devel] Special restriction syntax in VECM doesn't work anymore
Am 09.02.2016 um 17:25 schrieb Allin Cottrell:
On Tue, 9 Feb 2016, Sven Schreiber wrote:
>
> This is on gretl 2016a, and the hansl code where I noticed the problem
> first is not new, so I'm relatively sure that this used to work last
> year (as it should).
>
> Any ideas?
Are you sure this worked before? I just tested with gretl 1.9.14
(2013-11-21) and it failed in the same way (supposed non-conformability).
The code area of the respective script of mine was definitely not new.
However, without further investigation and recapitulation I cannot say
for sure whether that code area really had been executed. -- Also, see
below for what possibly was a special case.
The test that's generating the error is as follows:
1. Is cols(R) equal to the total number of elements of beta and alpha
("gmax"), in the system? In this case the answer is No, since cols(R) =
20 and gmax = 40.
I guess you're referring to the internal restriction representation now.
Because according to the guide the direct usage of an R matrix is not
supported for restrictions on alpha, only on beta.
2. If No, is cols(R) equal to the number of beta rows (here, 5)? No
again, so fail.
At the risk of revealing my ignorance, right now I'm not getting why
this would be an admissible case in general.
What I can see is that in the special case of r=1, rows(beta) == number
of total beta elements (==rows(vec(beta)), and so for r=1 this is a
check of whether the matrix multiplication R*vec(beta) is defined,
corresponding to eq. (27.5) of the user guide.
Once the really relevant check is added as you just did apparently,
maybe this check number 2 should/could be removed?
The missing test seems to be: does cols(R) equal the full number of
elements in the beta matrix? (Which it does here.) If so, go ahead. I'm
inserting this test in git; it would be good if it gets some testing.
Yes I also think this is the relevant check. And now I believe that my
old code had worked because it fell under the special case r=1, see above.
Before turning to practical testing, let me raise the issue of exogenous
restricted terms which lead to rows(vec(beta_x) = (n+n_x)*r instead of
rows(vec(beta)) = n*r. Is that covered by the bugfix?
thanks,
sven