Re: [Gretl-users] Weak esogeneity and partial cointegrated VAR models
Thank you very much Artur. Do you suggest me to consider linear
restrictions for element in matrix alpha and to include my weakly
exogenous variables as "exogenous"? I'm not sure to replicate a
partial CVAR. What do you think about?
En
2012/1/9 artur tarassow <artur.tarassow(a)googlemail.com>:
Hey Enrico,
please check chapter 25 in the manual
(URL:
http://sourceforge.net/settings/mirror_choices?projectname=gretl&file...)
for some examples.
Best,
Artur
2012/1/9 Enrico Foscolo <enrico.foscolo(a)gmail.com>
>
> Dear Users,
>
> I would ask you how to estimate partial cointegrated VAR models
> assuming that some variables in the original dataset are weakly
> exogenous as in Juselius (2006), "The cointegrated VAR model",
> sections 11.2 and 11.2.1.
>
> Thank you in advanced,
>
> EN
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