Re: [Gretl-users] Lags (or not) of restricted terms in VECM/coint2
Here is a list of the two options as they are implemented currently.
<hansl>
set verbose off
open denmark.gdt -q
list ylist = LRM LRY
list rlist = IBO
# exogenous only in the coint. space but not in the VAR
vecm 2 1 ylist ; ; rlist
# exogenous only in the VAR as-is w.o. any lags
vecm 2 1 ylist ; rlist
</hansl>
Of course this should be documented if it's not yet.
Artur
Am 15.04.2017 um 14:50 schrieb Sven Schreiber:
Hi,
I cannot find the answer in the docs whether restricted exogenous terms
in the 'vecm' or 'coint2' commands are included with a lag or as-is.
This concerns the "rxlist" or "zlist" arguments to the commands.
I remember some discussion about it years ago on one of the lists (users
or devel), but I cannot find it in a web search. (And because I do not
agree to google's non-privacy policy, I cannot directly search in the
mailing list search interface which is powered by google.)
Obviously, for the standard and automatically included deterministic
terms like a constant or a trend it doesn't matter, but for others it does.
It would be helpful if that info could be added to the docs.
Thanks and happy Easter,
Sven