Re: [Gretl-users] VECM estimation
On Thu, 17 Aug 2006, john w wrote:
gotta one request about VECM estimation. Once, you said that you will
finished VECM estimation in gretl i.e. that it will be possible to impose,
not only to test, restrictions on alpha and beta space.
Also, Jack said that it will include the possibility to check Granger
causality in VECM.
Maybe I'm a little bit pushy but when can this be expected?
I would guess, by the end of this year.
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.
Allin.