[Gretl-users] Re: SVEC restriction

Am 23.04.2020 um 15:31 schrieb Olasehinde Timmy: > I am finding it difficult to use the additional long-run restriction in > the SVEC interface. For instance, a four-variable VEC model with one > cointegrating vector requires additional 3 long-run restrictions with > the 3 linear independent shocks to exactly identified the system. To avoid misunderstandings: Do you absolutely want to avoid short-run restrictions? Because it is not necessary to add further _long-run_ restrictions, instead that depends on the application and the economic logic. Achieving identification through only long-run id may be difficult. > 1) Is it possible to use the total SVEC gui to do the restrictions ? In principle, yes. (When you formulate your model and the cointegration setup, remember that the equations associated with the permanent shocks must come first, by convention.) Secondly, please read footnote 20 in the SVAR manual. And finally, you can formulate additional long-run restrictions with a pattern matrix that you then paste (its name I mean) into the field saying "Restr pattern (further long-run C)". The structure of this pattern matrix is just like the one that specifies short-run restrictions. If you have further questions about this, it would be helpful to have an idea of the concrete restrictions that you want to impose, both short-run and long-run. cheers sven _______________________________________________ Gretl-users mailing list -- gretl-users(a)gretlml.univpm.it To unsubscribe send an email to gretl-users-leave(a)gretlml.univpm.it Website: https://gretlml.univpm.it/postorius/lists/gretl-users.gretlml.univpm.it/