Hi, I propose to treat VARs more fully as a special case of a structural system of equations. This would imply to make the accessors $sysA and $sysB accessible, and probably a few other things as well. If you want I could write down a complete list. $sysA is already quite easy I guess, as $compan[1:N,]. However, I don't see why users must be expected to know this trick and not directly provide the endogenous lagged coefficients. And for $sysB it's more involved. And BTW, in the built-in help the definition of $sysA is not totally clear, whether the ordering is by variable or by lags. Only the section in the user guide explains it 100%. I could imagine that such stuff need not be implemented at the C level in principle, but it's not obvious (to me) how the interface should look like to come as close to the $-accessors as possible. For VECMs the situation is maybe less clear, but given that you specify it by using the levels of the variables and that $compan also exists there, I tend to think it could be covered just as well. Opinions?

Am 30.10.2015 um 19:26 schrieb Allin Cottrell:

> > Anyway, what you're suggesting makes sense. It would help if you could > come up with some sort of hansl prototype or even reasonably specific > pseudo-code. Then I'd be happy to try to make C out of it. Will do that. I vaguely remember that there is some undocumented bundle floating around after estimating models that might contain some of the standard accessors. Is this correct, and if so, how is it called/accessible from hansl?

Am 31.10.2015 um 16:10 schrieb Sven Schreiber: > Am 31.10.2015 um 11:19 schrieb Sven Schreiber: >> Am 30.10.2015 um 19:26 schrieb Allin Cottrell: > >>> >>> Anyway, what you're suggesting makes sense. It would help if you could >>> come up with some sort of hansl prototype or even reasonably specific >>> pseudo-code. Then I'd be happy to try to make C out of it. >> >> Will do that. I vaguely remember that there is some undocumented bundle >> floating around after estimating models that might contain some of the >> standard accessors. Is this correct, and if so, how is it >> called/accessible from hansl? > > Hm, attempting this turns out to be more difficult than expected -- > after VAR estimation I don't know how to capture the information about > the deterministic spec like constant, trend, and seasonals, there are no > accessors for that. (And they don't show up in $xlist.) > > In the meantime I will pass this info in an ad-hoc way. > Ok, here you go, VAR only so far (no VECM). Not really tested yet, sorry. There are two functions, working like this: # transfer the available accessors bundle bvar = packVaracc($ylist, 3, $compan,$coeff,$stderr,$sigma,$T,$xtxinv, 0, $xlist) # (where the integer after $ylist is the deterministic Johansen case; # 1: no constant, 2/3: constant, 4/5: constant and trend. # And the penultimate argument is the boolean switch seasonals yes/no. # add the new accessors putSysacc(&bvar) Also with respect to $vcv I remember some discussions about whether or not to provide a dof-correction, which ultimately led to the introduction of $xtxinv for VARs instead of $vcv. Nevertheless I have now calculated simply vcv = sigma ** xtxinv.