Am 28.01.2024 um 15:12 schrieb Cottrell, Allin:
On Sat, Jan 27, 2024 at 6:44 PM Sven Schreiber
<sven.schreiber(a)fu-berlin.de> wrote:
> this is about VECM details at the scripting level. Consider the example
> at the bottom of this message. Typically $jvbeta (or equivalently
> $system.vecm_info.Bvar) has as many rows/cols as the number of free
> long-run parameters. However, this seems to change when additional
> (over-identifying) restrictions are imposed. Is this a bug or a feature?
Does the help text for $jvbeta help resolve this? "In the case of
unrestricted estimation, this matrix has a number of rows equal to the
unrestricted elements of the cointegration space after the Phillips
normalization. If, however, a restricted system is estimated via the
restrict command with the --full option, a singular matrix with (n+m)r
rows will be returned (n being the number of endogenous variables, m
the number of exogenous variables that are restricted to the
cointegration space, and r the cointegration rank)."
Whoops, sorry, then it's duly documented of course. I simply didn't
expect (or didn't remember) the help text to go into that level of
detail, so I didn't check it.
So it's a feature!
I also checked what happens if other choices than "phillips" are used
for the set variable vecm_norm, and (as expected I guess), $jvbeta
wasn't available. This also applied to the restricted case when the
restrictions were not sufficient to identify the cointegration space, so
that's coherent.
thanks
sven