[Gretl-users] Re: PMG questions
Am 25.03.2023 um 17:49 schrieb lars.ahnland(a)outlook.com:
Hi! I just downloaded and tested the PMG package. Great stuff, thanks
for that! I would like to know what "loading" variable is? I would guess it is
the short-run adjustment speed of adjustment/error correction parameter, is that correct?
Also, how is the reduced-form model calculated? Are only lags of the independent variables
used here?
Hi,
@loadings: correct,
@lags: in general, no, why should only the lags of X be used? But as the
documentation explains about the third argument: "vector of lag lengths
of y and all Xes". So it's basically the user's choice. (This applies
both to the reduced form and the other forms.) Bear in mind that at
least one lag of y is always required, and that the convention is to
refer to the lag order in levels (which is one more than the order for
the differences).
cheers
sven