Am 30.10.2015 um 19:26 schrieb Allin Cottrell:
On Fri, 30 Oct 2015, Sven Schreiber wrote:
> I propose to treat VARs more fully as a special case of a
> system of equations. This would imply to make the accessors $sysA and
> $sysB accessible, and probably a few other things as well. If you want
> I could write down a complete list.
A tiny linguistic point first. I guess English differs from many
languages in this respect, but in English usage "I propose to X"
basically means "I plan to X", but with the implication that you're
seeking approval first, hence: "I plan to X unless there are any
Well first I wanted to write "suggest" IIRC, but then I thought I'm
using it all the time and could vary the language a bit... Anyway,
indeed I was planning to provide some hansl functions as you have
suggested (sic!), so it's not completely off track.
objections to my doing so". I don't have any objections to
Anyway, what you're suggesting makes sense. It would help if you could
come up with some sort of hansl prototype or even reasonably specific
pseudo-code. Then I'd be happy to try to make C out of it.
Will do that. I vaguely remember that there is some undocumented bundle
floating around after estimating models that might contain some of the
standard accessors. Is this correct, and if so, how is it
called/accessible from hansl?
Then the interim interface could work roughly like this:
var 2 ser1 ser2 # estimate
bundle out = VARsystemstuff($<internalmodelbundle>)
matrix varsysA = out.sysA
Vaguely related: I've recently been thinking that our "system" apparatus
could do with a revamp. I've got interested in Ray Fair's arguments
about macroeconomic modeling and I think it would be good if gretl could
handle a "realistic" macro system such as the Fair Model. (I notice that
he offers a version of FM that runs on Eviews.) We're not a million
miles away from being able to do that, but there are some gaps, notably
the fact that we currently handle identities only in the FIML case (and
it seems that practical macro structural modelers typically use 2SLS in
preference to fancier but possibly more fragile estimators).
Absolutely. Identities is one of the things that I wrote down three
years ago (remember the term "lab" that I was using, and which Jack and
you didn't like very much). Another thing is easier specification of
restrictions in systems. I've noticed that some function packages
recently have done something related, but I haven't had the time to take
a closer look yet. Finally (on this abridged list), conditional scenario