Re: [Gretl-users] VECM estimation

From: Sven Schreiber <svetosch(a)gmx.net&gt; Reply-To: Gretl list <gretl-users(a)ricardo.ecn.wfu.edu&gt; To: Gretl list <gretl-users(a)ricardo.ecn.wfu.edu&gt; Subject: Re: [Gretl-users] VECM estimation Date: Mon, 21 Aug 2006 14:40:43 +0200 Allin Cottrell schrieb: > On Thu, 17 Aug 2006, john w wrote: > > At present we have the ability to test homogeneous restrictions on beta, > the cointegrating vector(s), only -- either using the GUI or the > "restrict" command following a vecm. Thanks to a pointer from Sven I > now have a reasonable idea of how to proceed with adding more general > tests on both beta and alpha (the "adjustments" vector), at least in > principle. But it's a fairly substantial task. > Yes I also think it would be a fair amount of work. What is not so difficult is to test homogeneous restrictions on alpha, e.g. for weak exogeneity tests. Once I'm familiar with the new matrix programming facilities in gretl, I might be able to contribute that function. I'm also interested in replicating the functionality of pcgive in terms of general cointegration restrictions, and maybe I could help with prototyping (I use numpy -- numerical python). But I don't have time before October. Cheers, Sven _______________________________________________ Gretl-users mailing list Gretl-users(a)ricardo.ecn.wfu.edu http://ricardo.ecn.wfu.edu/mailman/listinfo/gretl-users