Re: [Gretl-users] svar inquiry
On Wed, 2 Jul 2014, Sven Schreiber wrote:
Ok, so 36 constraints in a 9x9 matrix sounds like it's
just-identified
(at best). I guess you could check a rank deficiency of the template
matrix numerically by first substituting out the non-restricted elements
with ones, then multiply it (elementwise) with a random matrix (and then
use the rank() function).
Of course, using Jack's identification check algorithm which he will
publish soon apparently will be much better...
Actually, my algorithm has been out for a long time:
http://ideas.repec.org/a/cup/etheor/v22y2006i02p235-257_06.html
I had originally coded the above in Ox, and now I'm porting the whole
thing in hansl and incorporating it into the SVAR package.
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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