Hi Jan,
I don't have any experience using gretl's "system" (the
simultaneous-equation, structural thing, as opposed to VARs and VECMs),
so I can only offer some general comments.
First, it seems to me that this is an area that could be better
documented; in the gretl guide there is no chapter about it AFAICS. And
the command reference is as condensed as it probably should be, but then
of course is no substitute for the missing chapter in the guide. Maybe
that should be added as a minor bug to the bug tracker.
On to your questions:
>
> 1. In the command reference, page 51 (A4-Version) about using systems
> it is mentioned that identities are needed if FIML estimation is
> used. But also with ols or other estimations the system has to
> know how to create the forecast values of derived variables which
> are not estimated inside the system. Did I miss anything in the
> reference? And I guess that also with ols-estimation I have to
> declare the endogenous variables?
Identitites as such need not be estimated, so for other estimators I'd
say it's really not necessary. Forecasting is the step after estimation
and is a different issue.
With respect to endogenous variables and OLS: with OLS it's really only
the left-hand variables that can be / should be endogenous. If you have
right-hand variables that are known to be endogenous, OLS will be
inconsistent, that's why you have tsls, 3sls, etc.
> 2. Which command is necessary if I want the system to do forecasts
> for the system as a whole? In the graphic interface there is the
> possibility to select only one estimated variable, but as you know
> the clue of using systems is all variables are estimated
> simultaneous in mutual dependency…
>
That I don't know at all. Maybe it's really not implemented yet in
gretl? In principle, being only able to pick a single variable for the
forecast graph does not necessarily mean that no system forecast is done
in the background. But I somehow doubt that that's what's really happening.
But as I said, I don't have experience with that area in gretl, I'm only
speculating. Anybody else know the answer?
good luck,
sven
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